Installers and instructions for all platforms are available at http://git-scm.com/downloads
Though technically not required to install git and get it running, configure git so that you get credit for your contributions:
git config --global user.name "Your Name"
git config --global user.email you@yourdomain.example.com
Note
Use the same email address here that you used for setting up your GitHub account to save yourself a couple of steps later, when you connect your git to GitHub.
Check it with:
$ git config --list
user.name=Your Name
user.email=you@yourdomain.example.com
# ...likely followed by many other configuration values
There are several good, free graphical interfaces for git. Even if you are proficient with git at the command line a GUI can be useful.
Mac and Windows:
Linux, Mac and Windows:
There is a more extensive list of git GUIs, including non-free options, for all platforms.