It is built in to 3.5 and 3.9, but with 3.1 and below you have to download lha.run from Aminet. Execute lha.run and it will unarchive the lha executable. Copy this to C: and then type lha in to a shell to see the syntax of the command.
As for where you put the unarchived files, well you can put them where you like :-) I normally unarchive to RAM: as I have a lot of memory, and I can then install from the RAM: disk. If you don't have a lot of RAM:, just unarchive somewhere on your hard drive.
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moto