Best way would be to download the wallet from their official website (Be careful with other download places, since these can contain virus) then download cgminer.

It is going to be easier/faster to set up if you join a pool. Just find a Pool that you want (the link on the precious answer contains many) and follow the instructions. Most pools have a "getting started" section that would help you with the right command on cgminer (Works in command-line and for Windows/linux)

Last note: An ATI graphics card helps speed-up the mining process

Good luck!