The Sieve package should come with your Emacs version, and should be ready for use directly.
However, to manually set up the package you can put the following
commands in your ~/.emacs:
(autoload 'sieve-mode "sieve-mode")
(setq auto-mode-alist (cons '("\\.s\\(v\\|iv\\|ieve\\)\\'" . sieve-mode)
auto-mode-alist))