Go to Stellarium website and select the appropriate version according to your platform. Stellarium has versions for Windows, Mac and Linux platforms. For the windows and Mac versions, execute the installation package and follow the steps. The installation process is simple and straight forward. For the Linux version, you will get the source.

 Download links at Stellarium home page.

After installation, you need to set your location and time zone. Follow the instructions in the Location setting section.