MCell is included in the CellBlender 1.1 bundle (linux, windows). You only need to install MCell separately if you would like to run it outside of CellBlender or if you are setting up CellBlender from scratch (as is needed on OSX).
MCell is available for Linux, OS X, and Windows. In the past, MCell was run exclusively from the command line. With the development of CellBlender, this is no longer necessary (although it can still be very useful). MCell, by itself, does not have a graphical user interface and cannot be run by double-clicking an icon. Also, there is no installer unlike many Windows applications.
Download the desired binary file for your system (e.g., MCell v3.4 for Windows) from the MMBioS web site.