Copy these files class.phpmailer.php to your web server:

class.phpmailer.php
languages/phpmailer.lang-en.php

If you are using the SMTP mailer then copy class.smtp.php as well.

If you do not have control of the include directory and you are running PHP 4.0 or higher you can use this function to set it to the path of your files:

ini_set("include_path", ".:/path/to/phpmailer/dir");

Or this:

$mail->PluginDir = "/path/to/phpmailer/dir";