Banshee is still in development and does not yet come with a proper installer. You will need to extract the downloaded files manually. The platform support is currently limited to Windows only, but more platforms are coming in near future.
Before running the editor make sure to install VS2015 redistributables:
Latest version:
- [Editor v0.3.0 (Windows x64)] (http://bearishsun.thalassa.feralhosting.com/Banshee_Win_x64_v0.3.0.zip)
Older versions:
- Check git release tags for links