This page explains how to install MicroLua and its scripts.
You can grab the latest version on this very site here.
This gives you an archive containing:
If you are looking for the sources, please read How to get the sources.
First, simply extract the content of the archive somewhere on your computer.
Then, copy both the folder called lua and the NDS executable on the root of your cartridge. That is to say, in its "first folder", the one that contains the system your linker uses.
The executable can actually be put anywhere in your linker as soon as the lua folder is at the root.
If you intend to run MicroLua on a 3DS, look at the page [3DSTimeWorkaround], and more specifically the chapter "How MicroLua does it" to get the time working correctly. Otherwise, you're done with installing MicroLua!
In the folder called lua, you will find another one called scripts. This is the preferred directory to place your scripts, as the shell will look into it on startup. However you can copy the Lua scripts wherever you wish, you will just have to navigate through your filesystem.
The biggest homebrews come as a folder containing all the scripts and the resources they use, so you can simply copy it into scripts and avoid a terrible mess. If the programmer was kind, he/she called the main script of its project 'index.lua', thus enabling the feature of the shell that allow you to run it just by pressing "A" on the folder.