You can install Python, in both classic (CPython) and JVM (Jython) versions, on most platforms. With a suitable development system (C for CPython, Java for Jython), you can install Python from its source code distribution. On popular platforms, you also have the alternative of installing from a prebuilt binary distribution.
Installing CPython from a binary distribution is faster, saves you substantial work on some platforms, and is the only possibility if you have no suitable C development system. Installing from a source code distribution gives you more control and flexibility, and is the only possibility if you can't find a suitable prebuilt binary distribution for your platform. Even if you install from binaries, I recommend you also download the source distribution, which includes examples and demos that may be missing from prebuilt binary packages.