First of all download the latest SonarQube Distribution found http://www.sonarsource.org/downloads/.
Unzip the contents of the file to a path of your choice, e.g. (C:\ C:\sonarqube-4.0).
Check that SonarQube server starts correctly by performing the following C:\ C:\sonarqube-4.0 \bin\ windows-x86-xx \StartSonar.bat. If you are using either a Linux or a Mac machine please select the appropriate sub folder within bin directory and execute sonar.sh.