There are a few ways you can secure a copy of CakePHP: getting a stable release from CakeForge, grabbing a nightly build, or getting a fresh version of code from SVN.
To download a stable version of code, check out the files section of the CakePHP project at CakeForge by going to http://cakeforge.org/projects/cakephp/.
To grab a nightly, download one from http://cakephp.org/downloads/index/nightly. These nightly releases are stable, and often include the bug fixes between stable releases.
To grab a fresh copy from our SVN repository, use your favorite SVN client and connect to https://svn.cakephp.org/repo/trunk/cake/ and choose the version you're after.
Now that you've downloaded the most recent release, place that compressed package on your web server in the webroot. Now you need to unpack the CakePHP package. There are two ways to do this, using a development setup, which allows you to easily view many CakePHP applications under a single domain, or using the production setup, which allows for a single CakePHP application on the domain.