Installation of Selenium Grid is very simple. Download the Selenium-Server jar file from the SeleniumHq website's download page. Navigate to the download page and see the download link in the Selenium Server section.
You can install it in a folder of your choice. Generally, you can use Java -jar selenium-server-standalone.<version number>.jar command to run it. You will need to be sure that java executable is on your system execution path, so that you can run it from the command-line console.