Here's how:
1. Open the file /installation/sql/mysql/sample_data.sql with a text editor
2. Find and replace every #__ with the prefix you used in your database when installing Joomla. It is jos__ by default [without quotation marks]. If unsure, check your sql database manager.
The entries would look like:
CODE
#__banner --> jos__banner
3. Save the file and open your dababase manager (SQL Buddy in this case), and enter to the "Import" section.
4. Select the file and import it.
If everything goes well, the next time you open your website you'll find a sample page.
IF AFTER THESE STEPS YOU DON'T SEE A SAMPLE PAGE, OR IF YOU GET ERRORS, FOLLOW THE NEXT STEPS:
I had problems installing the data using the standard procedure, so I had to follow the next steps:
A. Open the sample_data.sql file you just modified
B. Copy every section that starts with INSERT or UPDATE:

COPY THE HIGHLIGHTED CODE
C. In SQL Buddy, open the "Query" section, and paste the code. You can copy all the code or block by block.
D. Execute the query
If you see no error message, copy all the rest of the sections and you're done. If you get errors saying to check your syntax, verify you have copied all the commas, semicolons, etc. If you get an error saying you have a duplicate key, delete that key from the code and continue with the rest.