Eigen is a head-only library. This means that installation is incredibly simple. Head to the Eigen homepage here. Near the top-right, under "Get it", download the latest stable release. This will come as a compressed folder, like a .zip file. Open this compressed folder. It should contain a single directory with a name like eigen-eigen-323c052e1731. Inside of this directory will be many subdirectories and files. You only need the subdirectory Eigen (under 5MB currently). Copy the Eigen folder into the include path for your C++ project, and you're done—you are ready to use Eigen with the include statement #include <Eigen/Dense>.