Do you have any problems with installation for Linux, MS Windows, MacOS? 
Check webpage
http://scipy.org/scipy/scikits/wiki/OpenOptInstall

Installation (very briefly, link above leads to more precize):

1. Ensure you have Python (v 2.5 is recommended), numpy (v >= 1.1.0 is recommended) and setuptools installed.
You can use Linux software channels, like this for Debian/*UBUNTU:
aptitude install python-numpy
aptitude install python-setuptools
(Linux OSes already have Python installed)

# optional, for graphics output:
aptitude install python-matplotlib

# optional packages that may be present in software channels: 
# python-scipy, glpk + cvxopt, some others

All optional packages and/or solvers could be installed after OO installation, when they will be required for the tasks involved.

2. [sudo] python setup.py install

