Step 1 Go to Yii official site, http://www.yiiframework.com/
Step 2 Click on Download Yii button.
You'll see options like,
Choose one of them, and go ahead.
Most preferrable way is installing via composer. Hence we'll go with the composer one.
Now, you can either install Yii in Linux or in Windows. Both the Operating Systems have the different procedures to install it.
We'll see installations in both the Operating Systems: