Currently the best way to use IOTA is through our GUI (Graphical User Interface) Client. The Client makes it easy to get set up quickly on all major operating systems. The downside is that this makes it difficult to run IOTA on smaller IoT devices right now. This will change once you will be able to compile from source (within 1 - 2 weeks).
You can download the latest client from https://github.com/iotaledger/wallet/releases. Download the respective version for your operating system.
All installations require Java higher than 8u66. Make sure you have it installed, else the GUI Client can automatically install it for you.
Compiling from Source
If you want to install the GUI from source, follow the instructions on the Readme on Github.