The Vim Download Page provides the sources and some binary distributions. If you're using Windows, the easiest way to get Vim will be to use the self-installing executable from that page. For Mac OS X, you can get a distribution from MacVim or use a package manager such as MacPorts. For various Linux, BSD, and other UNIX like systems, you should be able to install Vim through your respective package manager.
Assuming you didn't use an package manager or self-installing package, you'll need to do a little bit of grunt work yourself.
$INSTALLDIR/vim $INSTALLDIR/vim/vim71 ...There will be multiple file and folders under the vim71 directory, but you shouldn't need to bother with those for the time being, so long as they are present.
On some systems you may find a program called install.exe in your executables package. Assuming you've copied it over to your vim71 directory, you can use it to do some final setup, such as:
Running this program will give you a list of tasks that can be performed. Enable or disable tasks as you desire by entering their menu numbers in the prompt. After you have the settings as you want them, type "d" at the prompt to do the setup.
If you either can't find a binary package for your systemor the packages you find weren't compiled with the features you need, you can always try building Vim from source. I've written a short guide for building Vim with Perl, Python, Ruby, and TCL support on Windows. I'm assuming that most Vim users on UNIX-like systems will be able to compile their own copy without much help, but I'll consider writing a HowTo for that as well if the need is present.