This is a fully featured CRM, and therefore its big, and requires a lot of configuration. Bear with it: use their forums (which are busy, and have good answers provided quickly in my experience) and you will get a component which is excellent. A lot of the installation woes people - myself included - have are as much to do with their hosting not coping with a demanding package as with CiviCRM itself.
As others have said, this is really a Drupal module that works on Joomla, and there are times when it shows - but again, Drupal has an ACL system that works, and Joomla 1.5 doesn't - doubtless when J1.6 finally surfaces CiviCRM will start getting more positive comments here.
Definately worth using this module, but don't expect to have it all working perfectly in only a couple of hours.