If you are using Ubuntu its easiest to install Joxa from the
PPA. This will get
everything setup for you. For other distributions you simply need to
drop the Joxa executable in your path. That executable is an
escript. An escript is basically a binary executable. However, it
depends on the existence (on your machine) of the Erlang Virtual
Machine. So either install that
now from source or install it from the
packaging system on your distribution.
If you are using Windows, install a recent Erlang (R15B or newer), add
Erlang's bin directory to your path, and drop
joxa.cmd in there too.
How to properly install your project. Ideally, your project should be installable via a common (simplistic) method: PyPI for Python, PEAR for PHP, CPAN for Perl, RubyGems for Ruby, etc.