Read the Known Issues page first. There are some warnings to Ubuntu users who have already modified their Ubuntu installation or customized their .conf files that LinuxMCE will override their changes.
In addition to the usual community options like forums, for the moment a few volunteers have agreed to provide live tech support via Yahoo/Skype to identify common installation problems so they can be fixed in the next release.
Reading before installing LinuxMCE
Before installing LinuxMCE, I suggest reading What to expect which says exactly what sequences and equipment was used to setup my whole home media + automation system as shown in the demo video, and warns what are the pitfalls you may run into.
The Detailed step-by-step instructions for installing LinuxMCE which has step-by-step instructions on installing Ubuntu and LinuxMCE. Then the short Architecture Intro which explains what pc's you'll need to install software on and how they all work together. Then there's a Quick Start Guide which explains how to set the video and audio settings using the AV Wizard, and to add devices to LinuxMCE with the Setup Wizard. The Usage Intro is a quick primer on how to use LinuxMCE once it's installed.
LinuxMCE is a huge program with lots of features that you won't even notice right away, and the wiki already has a ton of pages which I imported from existing sources when I launched LinuxMCE, such as the original User's Manual and Programmer's Guide. I found most of these docs weren't well organized and some of the data isn't up to date. But it's a wiki and all pages are open for editing, so hopefully this will improve.
Getting the CD's
As explained in the Installation Guide You need 2 cd's to install LinuxMCE, which you can get here:
1) Ubuntu 6.10 live cd. For now Linux MCE can only be installed on top of the Ubuntu 6.10 distribution of Linux, which is available here.
2) The LinuxMCE install cd, which is available on these Mirrors.
The LinuxMCE installer
Once you have already burned the LinuxMCE install cd, and finished installing Ubuntu 6.10, here is the installer application you run from within Ubuntu to install LinuxMCE:
Getting the source code
Instructions on getting the source code and compiling it are located on Building From Source page.