First Step: Download virtual box

First of all you will need a software like virtualbox or vmware. I prefer virtual box.

VirtualBox is a general-purpose full virtualizer for x86 hardware, targeted at server, desktop and embedded use.

You can download it here, select your OS and then download.

                                                         OR

Separate links ---- For WINDOWS                            
                           For OS X HOST                            
                           For LINUX (choose the appropriate package)
                           For SOLARIS HOST

You can also download Virtualbox Extension Pack here.
It is for support for USB 2.0 devices, VirtualBox RDP and PXE boot for Intel cards.
Download