You can easily install haXe by using one of the following automatic installers :

Editing haXe code

If you are looking of an IDE to write haXe code, the following plugins are available :

• FlashDevelop Plugin for the open source FlashDevelop IDE (for Windows) (version 2.x only). Since the 3.x.x version, FlashDevelop supports haXe by default.
• TextMate Bundle for the popular TextMate Editor (for OSX)
• ... for more IDE/Editor support, read the complete list of plugins

Manual Install

You can also download the latest binaries and install them by-hand on your system :

• for Windows : haxe-1.19-win.zip
• for OSX : haxe-1.19-osx.tar.gz
• for Linux : haxe-1.19-linux.tar.gz

Please note that the automatic installer also download and install Neko, while you will have to install it manually if you are using the binaries (you can download neko binaries from NekoVM website).

If you want to download haXe compiler Sources, please read Compiling haXe.