This guide will help you with installing the Pentaho Server software in configurations beyond the pre-configured install.
The Pre-Configured Installation is a complete server installation designed to allow you to evaluate the features of the Pentaho BI Platform. It includes a pre-configured application server/web server, pre-configured and pre-populated application databases, sample data, and fully-functional samples. There is a version of the preconfigured-install that includes a JRE (Windows only) as well.
If you choose the pre-configured installation distribution, you will want to download the Quick Start Guide, also available from Pentaho Download Page, which will guide you through the simple installation, configuration and running the platform samples.
If you choose the advanced installation distribution, you need to follow this document.