Windows and Mac versions require unzipping and then just run the app from the folder.
Android version is downloadable from here. You may be asked to enable installation from unknown source and developer. Google Play store version is still pending Google's review.
The Web version will not work on any iOS devices (in any browser) or in Safari on Mac. This is because Apple restrict these platforms from being able to play some open source standards for online video.
Web version will run slower than the other versions and depend on your internet connection speed.