The client comes with an installer that will get you up and running. Just follow the instructions in the installer. For the windows version there is an update that you need to run too. Run the installer first, then the update.
Your client will have to sync with the network before you can use it for transactions. This can take a while the first time, and also if you have not used it for a while.
You might be a little overwelmed if this is all new to you, so keep the following in mind:
Default is to use two keys. The installer will therefore ask you to create a key two times. Each key can have a unique password, and you will therefore be asked for password two times as well. The same goes for hiding your key in a picture. You can skip any or all steps related to the creation of keys and do it manually later, but we recommend you follow the setup if this is your first attempt to install the client.
There is a known issue related to keys: If you store your keys in a folder that Bay is not allowed access to, or a folder or subfolder where non unicode characters are used, you will not be able to open your wallet. The client will start, but your access to your wallet is denied. You can easily avoid this by storing your keys in the Bitbay folder, or any folder you create directly on root directory.