The easiest way to obtain and start using Bokeh is to install a pre-built package. You can find "quickstart" instructions on the main Bokeh docs site here:
http://bokeh.pydata.org/docs/quickstart.html
Typically this is as simple as:
conda install bokeh
or:
pip install bokeh
Thre is more detailed information about different methods of installation here:
http://bokeh.pydata.org/docs/installation.html
Bokeh is a multi-language project, and building it from source requires installing and coordinating different toolchains. You can find detailed instructions for building Bokeh from source here:
http://bokeh.pydata.org/docs/dev_guide.html#developer-install
Once all the required tools and dependencies are installed, building Bokeh is typically accomplished with by running:
python setup.py install --build_js
or:
python setup.py develop --build_js
However, there are other ways to build that can afford incremental compilation of BokehJS (and hence faster code iteration). Consult the developer install link above for full details.