It is already installed (unless you've done something really stupid, that is). It's the green icon that looks like a compass and has "Maps" written under it

Oh, you mean the maps themselves? I have not yet found any other way than through PC Suite. The Maps application downloads maps around your current location but as far as I know, PC Suite is the only way to batch download whole countries.

Make sure you start the Maps application first. AND you need to be online when you do. It will take some time to set up, download whatever it does (current satellite positions? index files? report your location to Nokia Microsoft? who knows?). Once set up, close the app and connect to PC in PC Suite mode to do the rest. You need to do that in that order otherwise PC Suite will complain that Maps is not installed.

Edit: Err, I see peterleinchen has beaten me to it.