Most Linux distributions have OCaml in their repositories, it is usually named "ocaml". It's also in the ports of FreeBSD, OpenBSD and NetBSD. You can also download the source from here. See the README and INSTALL files for instructions on how to build OCaml.
There are no binary packages of the most recent (3.12) version of OCaml for Windows. You either must use version number 3.11 or build OCaml from source.
After successful installation, open a terminal and execute
ocaml. You are now in the Toplevel, an environment for interactively evaluation of Ocaml expressions and definitions, e.g.
3 + 4 ;; - : int = 7
";;" ends an expression.