NOTE: Prefer Ubuntu 16.04 LTS. We configure as a service using systemd and it's not in 14.04. More here on configuring as a service
Read here to ensure system packages are installed
Download the agent from github releases
~/$ mkdir myagent && cd myagent
~/myagent$ tar xzf ~/Downloads/vsts-agent-ubuntu.14.04-x64-2.102.0.tar.gz
~/myagent$ ./config.sh
NOTE: running as a service details here
~/myagent$ ./run.sh
That's It!