This page offers a number of downloads. Typically, you would want to use the latest stable release. However, if you're eager to get started using the latest and greatest features, you could consider using the snapshot releases instead. The downloads page contains a number of assemblies for you to download. Some of them only provide the Axon library itself, while others also provide the libraries that Axon depends on. There is also a "full" zip file, which contains Axon, its dependencies, the sources and the documentation, all in a single download.