The instructions are written with Linux in mind, which would normally run a de facto standard TeX implementation called [TeXLive](www.tug.org/texlive/) (or an older one, albeit quite similar, called teTeX). I didn't use TeXshop (which is IDE to run LaTeX) for many years; google tells me that actually it uses TeXLive, so you are all set in this sense.
Sagetex is meant to be run at the shell prompt. If you do it at the shell prompt, then put sagetex.sty in your working directory (there are better ways, but this one should typically work, too), open the Terminal, and run `latex yourfile`. Then run Sage, as described [here](http://www.sagemath.org/doc/tutorial/sagetex.html).
(needless to say, sagetex.sty is pretty much useless without Sage installed).
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