First, install your pen tablet drivers from the included CD or from Wacom's site. If you don't install the drivers, your Wacom may work like a mouse, but it won't be fully operational.
The default settings that come with Wacom tablets are not very good for this, so you'll need to change them. Find your operating system below and follow the instructions.
You may not need to configure anything. If you do, it might be a trick. Lurks has written a guide to setting up Wacom on Ubuntu. This didn't work for sonorier, who got it working eventually. The Wacom Linux Project site may also be able to help.