Quick answer: make sure you have SciPy installed, then python setup.py install
Longer answer: (if the above was any trouble) we keep more detailed installation instructions (including those for the dependencies) up-to-date in a wiki at: http://wiki.github.com/pybrain/pybrain/installation
Please read docs/documentation.pdf or browse docs/html/* featuring: quickstart, tutorials, API, etc.
If you have matplotlib, the scripts in examples/* may be instructive as well.