It’s just the command prompt on your PC, so it should already be installed. If you’re Windows, just open the DOS/Command Prompt window. If you’re using Linux, just open xterm or gnome or whatever the default terminal program is that comes with your distro.
Also make sure you have android adb installed. The safe way to do this is to download the Google Android SDK and you can find the adb tool in /path/to/sdk/platform-tools. If you’re using Ubuntu, you can just do something like: sudo apt-get install android-tools-adb android-tools-fastboot