On the Dodge/Cummins the exh brake mounts on the back of the turbo, between the exh pipe and the turbo itself. On your engine there is a cast elbow clamped between the pipe and turbo. It gets removed and the new elbow with the brake valve in it gets put in its place. Make sure you get one for an 04 and not an 04. 5 as the pipe diameter is different. Officially Dodge never recommended one for trucks with an auto trans before 06 as the transmission wouldn't take the abuse as mentioned already. The "Jake" brand uses a belt driven vacuum pump to operate the pump, while most other brands, like Pac and BD use an air compressor, usually an electric one. A cab mounted switch turns it on and off.
When the switch is turned on and you lift your foot off the throttle pedal the brake valve closes putting a restriction on the exh causing the engine to slow down because the flow of exhaust in now restricted and the fuel supply has been stopped. This slows you down with out using you regular brakes saving wear and tear on them. Whne you are towing a big or heavy trailer this is a big help as you now have two methods of stopping, the exh brake and the service brakes ( the pedal ).
The Jake vacuum pump mounts just above your injection pump and is driven by the main belt. A new and longer belt comes in the kit. The disadvantage to this is you now have a different size belt if it ever breaks out on the road. You could always put a stock one back on, you just wouldn't have an exhaust brake for the rest of the trip. One other problem it that the vacuum pump seem to be a problem part as I've seen lots of them being replaced. For more details read this :
http://www.jacobsvehiclesystems.com/files/support/docs-pdfs/32414 E2_Screen.pdf
The ones, like the Pac PRXB, use an air source. The operation is the same but there is no vacuum pump, therefore your belt doesn't get changed. They have several choices of 12 volt air compressors to choose from. One advantage is that you can add an air storage tank and use other things like an air horn, air bags for your rear suspension or just to inflate tires or an air mattress. This is the one I have although I have a HD belt driven compressor but that's another story

See here :
http://www.pacbrake.com/index.php?page=prxb-exhaust-brakes
With the HCPR engines like you and I have you can also turn on the brake when the engine is cold. This will put a light "load" on the engine and help it warm up faster. It will auto kick off if the engine gets too hot. Also if your are travelling with the cruise on, and the brake switch is turned on, and you start to gain speed going down a hill the brake will come on automatically to slow you down to the speed you set the cruise to, but only if your foot is off the throttle.
Banks explains how it works here.
http://www.bankspower.com/techarticles/show/17-How-An-Exhaust-Brake-Works
End of Exhaust Brakes 101 Shad