To install this package, in a Stata session type
.net from http://labs.fhcrc.org/pepe/stata/
You will be prompted with a list of packages you could net describe. Click on risk_prediction. This will currently install two commands, incrisk and predcurve. A program description is available by using the help facility, e.g., help predcurve opens a window that explains the syntax and options for the predcurve command. PDFs of the help files can be obtained here for predcurve and incrisk.
To update the risk_prediction package at a later time, in Stata type:
.adoupdate risk_prediction, update