Apache JMeter tutorials.
The installation of JMeter (if you would call it an installation) is pretty straight forward. On the website is a link to the download area of stable versions. You also have the possibility to use nightly builds, but this is at your own risk. No guarantee that they work properly. So the advice is always to start with a stable version.
Download the latest version (zip or tgz) and unpack the archive to a local folder. Before starting JMeter it is wise to have a look at the configuration.