Go to GitHub or download the installer-master.zip file. Make sure to read the REAME and verify that your PHP configuration has the required settings. Actually, I find it easier to just view the "Raw" code and save the page from my browser's File menu. If you download the zip file, unzip it to get the install.php file.
Upload the install.php file to your MODX installation location, and run it in your browser - domain.com/install.php. You'll get a list of versions to install. You can edit the .php file to install a different version.
Wait a bit, as the MODX package is downloaded and extracted. As soon as the MODX version you selected is uploaded, the script removes itself and you'll be forwarded to the MODX setup page. Follow the installation instructions, and you're all done.
Check your server and make sure that the install.php script was successfully removed; you don't want anybody to find it and overwrite your site with a new install!