To install Ocsigen, just download the packages you want using opam, the OCaml package manager.
You will need some non-OCaml dependencies. Opam can help you for this if you install opam-depext.
$ opam install opam-depext
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
Several tutorials are available here.