The easiest way to obtain and start using Bokeh is to install a pre-built package. You can find "quickstart" instructions on the main Bokeh docs site here:
http://bokeh.pydata.org/en/latest/docs/quickstart.html
Typically this is as simple as:
conda install bokeh
or:
pip install bokeh
There is more detailed information about different methods of installation here:
http://bokeh.pydata.org/en/latest/docs/installation.html
Bokeh is a multi-language project, and building it from source requires installing and coordinating different toolchains. You can find detailed instructions for building Bokeh from source here:
http://bokeh.pydata.org/en/latest/docs/dev_guide/building.html
Once all the required tools and dependencies are installed, building Bokeh is typically accomplished with by running:
python setup.py install --build_js
or:
python setup.py develop --build_js
Consult the developer guide link above for full details.
Much more information about getting started with, and using Bokeh can be found in the user's guide:
http://bokeh.pydata.org/en/latest/docs/user_guide.html