go to the download page and choose the version you need (you will use the windows version without Java at your own risk).
download and unzip somewhere on your computer. It's a Java application and does not need to be installed.
launch the program. that's it.
have a look at the (numerous) examples under File→Examples→…
Each program in processing is a sketch and if you tell the processing IDE to look at the right place they will all be browsable under File→Sketch→…
open File→Preferences
browse to the location you would like to use
close the preference windows and restart processing
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scroll down
get the most recent version. Mac users may need to use the Java 1.4 version
unzip the library
put both libraries + sketch folders in your previously defined sketch folder
restart processing
have a look at the (numerous) examples under File→Sketchbook→sketch→…