Chocolatey is strongly recommended for Windows users to setup different kinds of enviorment.
If you run Windows 7 or less, please update your old-fashoined system. Otherwise, you can open PowerShell with administrator privilege and input
Set-ExecutionPolicy Bypass; iex ((New-Object System.Net.WebClient).DownloadString('https://chocolatey.org/install.ps1'))
Then you can follow the insturctions to complete your installation and reopen the PowerShell.
If some problems occur, see the offcial installation guide.
Before installing a package, search it on the chocolatey gallery.
Then input choco install -y package_name to install it.
-y is added in order to make the installation process more convenient.
Homebrew is strongly recommended for Mac users to setup different kinds of enviorment.
Open the terminal and input
/usr/bin/ruby -e "$(curl -fsSL https://raw.githubusercontent.com/Homebrew/install/master/install)"
HomeBrew will be automatically installed after several minutes.
I think it's not very possible to meet an error, if so, check the website above.
Similar to Windows, HomeBrew packages can be found on Formulae.
Most of Linux distributions contains a package manager containing most of packages you need.
I think you are able to setup the enviorment without the guide.