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In most cases you will download the software from the Internet. When the installation file has been downloaded double click on the installation file, which is a self-extracting compressed file of all the data and software needed for an installation. Follow the installation procedure.
You should, of course, have enough free disk space available. The amount of disk space depends on the version. You will normally find some information about the needed space for a particular version on a web site from where you download the software.