I was reading a post yesterday I think in which someone was trying to do the same thing (or maybe it was you somewhere else)?
They were having issues just as PeterH said, being unable to interrupt the beam with a water drop.
Once you get that figured out, I made a post here yesterday answering someones question about Ir receivers.
http://arduino.cc/forum/index.php/topic,148554.0.html
Basically, you feed the Vs pin on your detector with your voltage supply (5V from arduino), ground the ground pin, and then read the third pin with a digitalRead in your arduino sketch using any of the digital pins on the board. Looking at your data sheet, it looks like the OUT pin should read high when no modulated IR light is detected, and low when it is (the transistor should be getting a current from the detector).
If you read my other post, make sure to take not that the leads on the detector he used are in a different order than yours. (though I doubt you can harm the detector by hooking it up backwards.... but I would avoid it since I may be wrong)