Setting up prime faces is simple and the documentation for prime faces is good and has all the details but I had to do little bit of digging and it took couple of hours to setup. I will try to reduce your work.
1. Download tomcat 6 or greater.
2. Copy jsf-api-2.0.2-FCS.jar and jsf-impl-2.0.2-FCS.jar to TOMCAT_HOME\lib directory for tomcat 6 only. If you have installed tomcat 7 ignore this step. Additionally, to make JSTL-1.2 to work in tomcat6 you need to copy el-api-2.2.jar to your TOMCAT_HOME\lib folder, and the el-impl-2.2.jar to your WEB-INF/lib folder and add below context param to web.xml depending on which JSF implementation (myfaces or sun RI).
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3. Download primefaces JSF 2.0 jar file primefaces-2.1-SNAPSHOT.jar
4. From MyEclipse create a new web application project. Make sure you have JDK 5 or greater. I am using JDK 1.6 version.
5. MyEclipse will create web.xml for you. Copy the below the contents to web.xml
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7. Copy all the required jar file to the project classpath and also copy them to WEB-INF\
lib directory of the web application.
8. Deploy your web app.
Update: PrimeFaces had it’s own resource servlet to load resources, now with 2.2.M1 it is gone now since primefaces migrated resource management to JSF 2.0 Resource APIs.