(I take ABSOLUTELY NO credit for the creation / production / development of Phun. All rights go to their respective owners. I am merely a purveyor of knowledge)
Step 1: Downloading and Installing...
Windows XP and Earlier: http://www.phunland.com/download/Phun_beta_4_22_win32.exe
Windows Vista: http://www.phunland.com/download/Phun_beta_4_22_win32.zip
Linux (Wonder how many people will click this?): http://www.phunland.com/download/Phun_beta_4_22_linux32.tar.bz2
Once you have these downloaded, run and install them. It's incredibly self explanatory, so I won't bother with that. If there are any Technical fails check the phun site at: http://www.phun.at