Installing PlugData is very simple, but below I've listed the recommended method for each platform. If you are upgrading from an older version, read the release description carefully: sometimes upgrading requires a bit of extra work. Going into the future, I hope this won't be necessary anymore.
Download the latest installer from the Releases page. Scroll down and click "Assets", choose the MacOS Universal version. This should run on both Intel and Apple Silicon Macs.
Download the latest installer from the Releases page. Scroll down and click "Assets", choose the 32-bit or 64-bit Windows version version. Windows might show a warning, saying that the file is not trusted. If you can install it anyway, it should be fine. If Windows Defender prevents you from installing, there is also a zip package with plugins, available without installer: see the "PluginsAndExecutable.zip" file.
For Linux users, I'd recommend using the OBS packages for most distros, or the AUR package on Arch.
OBS packages (maintained by @KottV): https://software.opensuse.org//download.html?project=home%3Aplugdata&package=plugdata
AUR packages (maintained by @aik2mlj): https://aur.archlinux.org/packages/plugdata-git
If your distro is not supported, see Building from Source.
Windows, Mac and Linux users with a Github account can download the latest (unstable/untested) build from the Actions page.