As of 3.4.6 and 4.1, CiviCRM Engage automatically imports into CiviCRM a set of custom data fields, contact types and other elements that provide a good starting point for using CiviCampaign right away.
After enabling the module (In Drupal- Administer ->Site Building -> Modules), be sure to check Administer -> User -> Permissions and grant yourself access to the "access civiengage settings" permission. Then, you may navigate to Administer -> Settings -> civicrm engage settings to modify the behavior of CiviEngage.
CiviCampaign is included in the standard CiviCRM install (v4.0.7). Once CiviCRM is installed, from within CiviCRM select Administer -> Configure -> Global Settings -> Enable Components to enable.