Prepackaged distributions come in tar.bz2 format and can be found at the forge.
Note: the shell script won't be of much use in Windows. I'll look into how to use Launch4J to turn the xmleye.jar into an EXE, but for now, just double click on it from the file browser. If your Java JRE 5.0 or later setup is correct, it'll work just fine.
Unpack it somewhere and edit the PROGRAM_DIR variable in the xmleye shell script to wherever you unpacked it. And… that's it. Well, I recommend putting the xmleye shell script somewhere under your PATH, but that's up to you.
You will also need a JRE 6.0 compliant JRE. You can use the openjdk-6-jre or icedtea-java7-jre packages in Ubuntu Hardy, for instance.
The wrapper script you just edited can be run from anywhere, and you can also hand it some relative or absolute paths to whatever documents you might want to open immediately, such as:
xmleye file1.xml file2.yaml file3.lisp
If you unpacked XMLEye at $PROGRAM_DIR, stylesheets will be located at $PROGRAM_DIR/xslt, and document format descriptors will be at $PROGRAM_DIR/types. Preferences will be saved under ~/.xmleye.
As distributed above, XMLEye can only open XML files, and uses a very simplistic generic visualization. If you want to use any of the available converters, you will have to follow the instructions listed in their page.