Download it from http://therion.speleo.sk
On Windows, a double click on installer icon will start installation. Answer “Yes” and “Next” to each and every thing it asks for. Done. You can now start Xtherion by double-clicking their icon. As previously mentioned, you'll work primarily on Xtherion, wich is Therion's graphic user interface.
On *nix, you could install a binary package if you are on Debian (Sarge). Apt-get will install it with all its dependencies.
If you aren't on Sarge, you should compile it. Please read thbook.pdf to see how to do.