I really would like to make a step-by-step lesson teaching you how to finally get all HOpenGL stuff running. Unfortunately, the installing process of it and its auxiliary programs actually are quite complicated. Also, the "way" to install all this stuff changes from time to time.
For example, in order to install previous versions of GHC (the Glasgow Haskell Compiler) under a Windows95/98/NT platform, you needed to install an auxiliary tool called Cygwin. Nowadays, this is not necessary anymore.
To install the HOpenGL itself, you needed to go to the HOpenGL site and download its latest version. Nowadays, Sven is moving all the stuff to the hslibs part of GHC's fptools repository. He says that "[...]The final goal is that GHC (and hopefully other Haskell systems) come with a precompiled OpenGL binding, so you could simply add '-package OpenGL' to your build options, and you're done. Currently about 80 percent of HOpenGL's source code has been moved to the repository, rewriting most things to take advantage of the new FFI. The API remained basically the same, apart from some cosmetic changes."
I hope all these changes are finished soon. When the installing process becomes more uniform (and I hope it will), I'll try to write it down here. By now, I would recommend you to:
Don't give up if things don't work fine at the first time. Keep in mind that this process can be a bit of a trying experience. If you are really facing difficulties, search for help in the GHC/Haskell Mailing Lists. You can subscribe to them through the