The process of setting up UserFrosting so that you can begin work in your local development environment is known as installation. This is a separate process from deployment, which is when you actually push your fully developed application to a live server. Please be sure that you understand this distinction before proceeding further! UserFrosting is not like, for example, Wordpress, where you can "install" directly to your production server.
The links below will guide you to the right installation guide for you, which can be a little different depending on your background and current setup: