You have three choices for installing MySQL Proxy:
Precompiled binaries are available for a number of different platforms. See Section 14.6.2.1, “Installing MySQL Proxy from a Binary Distribution”.
You can install from the source code if you want to build on an environment not supported by the binary distributions. See Section 14.6.2.2, “Installing MySQL Proxy from a Source Distribution”.
The latest version of the MySQL Proxy source code is available through a development repository is the best way to stay up to date with the latest fixes and revisions. See Section 14.6.2.3, “Installing MySQL Proxy from the Bazaar Repository”.