I would start with Laravel first before you start with Lumen. Lumen is a stripped version of Laravel and a lot of stuff is pulled out of it to make it master, but that also makes it harder to make stuff with it!
As of installing lumen, you don't really install it. You just run the application on your PC or in a virtual machine. You can find all the steps you need in the documentation of Lumen: https://lumen.laravel.com/docs/5.2/installation
You need composer for this, so just install it and look up a tutorial on how it works ;)