You can download an iso file which you can use to create a CD of Smoothwall Express 2.0 at their website here. Once created, the CD is bootable, so starting the installation for most PC's is simply a matter of turning on the power with the CD in the drive. If you don't have a CD drive on your target machine, there's also an option for performing a network install.
Smoothwall Express 2.0 installation is a very straightforward affair. Part of the reason it's simple is because you don't have very many options to choose from, which can be a good thing or a bad thing, depending on your perspective. One thing that really stands out to me about the installation is that there are no partitioning options. The Smoothwall installation will completely wipe out, repartition, and reformat the entire primary master hard disk, and apparently there's no way around it. Of course, the installation routine warns you before doing this, but it can be a little worrisome if you're not sure Smoothwall is going to work for you.
After the hard disk warning, you're prompted to configure your "green" network interface. This is where it's a good idea to be familiar with your network cards and what Linux driver they use. If you know that, then you're all set. If you don't know, then you may have to do some experimenting after the installation to figure out which cable connects to what. Smoothwall refers to network interfaces by color - "green" for the local network, "red" for the Internet, and "orange" for the DMZ (the "demilitarized" zone where web servers and such should go). Once the local network is configured, the installation will copy files to the hard disk before continuing. The rest of the installation will have you setting up your remaining network cards and other basic information like your hostname. You're also offered the opportunity to restore a configuration from a previous installation - a good thing if you're upgrading from an older version. For the most part though, the installation is pretty much automated.