There are several ways to install Joomla!.
If you want to test Joomla! and you haven't purchased a domain yet, you can install Joomla! on your own computer (without your site appearing on the Internet), you can install it using the XAMPP package. You can also create a working website at demo.joomla.org, which is easy and well-supported.
If you want your site to be available on the Internet, make sure that you have an account on a web server. For most people this means signing up with a hosting company and purchasing a domain that will serve as your site's main address.
For support with installation, you can ask questions in the installation forum.