By default Windows PowerShell comes installed in every Windows, starting with Windows 7 SP1 and Windows Server 2008 R2 SP1. So there is no any specific installation or setup required.
To start PowerShell, open start menu by clicking on start button or by pressing Windows key on your keyboard, try to search PowerShell, it will show you main two options 1. Windows PowerShell and 2. Windows PowerShell ISE (We will go through differences between these two in later session). For now you can start PowerShell command-line by clicking on first option.
You can also open PowerShell by command-line by writing "powershell" and press ENTER from windows command prompt (cmd), if you want to come out from PowerShell, type exit and press ENTER
To check version of PowerShell on the system there is a command $PSVersionTable and press ENTER.