You will be taken to the download page. Under "Download" (shown inside a red box in the image), there is a list of options for what systems you can install the software on. Since I have a Mac OS X, I chose the Mac OS X option.
Once you click on the correct option, the download should automatically start. It usually takes a little more than a minute to load.
Once it finishes loading, you need to decompress the .zip file. On Macs, it does this automatically, but on other systems the method varies.
For Windows, right-click the file and then click "Extract" on the shortcut menu.
Linux is much more complicated. Once you download the file you must click Application > System Tools > Terminal, which will open the terminal window. Once in Terminal, enter this text if you are a root user (you will see the "#" prompt): apt-get install unzip. If you are a Red Hat Linux/Fedora user, enter this in Terminal: yum install unzip.