To install Ocsigen, just download the packages you want using opam, the OCaml package manager.
If you plan to build a Web and/or mobile app with Ocsigen, Ocsigen-start is a good place to start:
$ opam install ocsigen-start
If you want to start with a website with few client-side features, you will probably need only Eliom to begin with:
$ opam install ocsipersist-sqlite-config eliom
Please read the one page documentation first,
if you plan to write a client-server Web (or/and mobile) app,
or the Server-side programming documentation,
if you want to learn traditional Web site programming in OCaml.
Several tutorials are available here.