The best source for everything Enigma is naturally the official homepage.
Windows: The Windows version is self-installing; simply run the downloaded .exe file. It should have a file name like Enigma-0.60.exe.
Linux: Every Linux distribution seems to have its own solution for installing and managing software packages. Please consult the documentation that came with your distribution if you don't know how to do it. Binary packages exist for some popular distributions like SuSE, Redhat, or Debian.
The download page generally contains more detailed and more up-to-date information. If you still cannot get Enigma to work on your computer, feel free post a message to the Enigma development mailing list enigma-deve@nongnu.org.