If you're looking for the simplest way to get the plug-in up and running, download the latest ZIP archive from Vim Online, unzip that in ~/.vim/ (on UNIX) or %USERPROFILE%\vimfiles (on Windows) and you're good to go.
If you're using git and/or Pathogen, Vundle or a similar plug-in manager and want to keep the plug-in up to date using git, you can use the GitHub repository directly, it should just work.