Download MAVLink here: https://github.com/mavlink/mavlink/downloads
For Windows a Nullsoft installer is provided. It will walk you through the installation of the library onto your system.
For linux, the library is provided both in a debian package (useful for debian and ubuntu) and a self extracting tarball version (compatible with all mac/ linux versions).
For all linux/ mac versions the self extracting acrhive can be used as follows:
sudo gdeb-gtk ./mavlink-1.0.0-Linux.deb