See this blog post on how to install Azure DocumentDB Studio from scratch.
Now with release 0.2.0.1 just out of the door, you might want to simply upgrade.
Upgrading is basically the same thing as installing, you just want to keep the file Studio.xml around.
That file keeps your account credentials and is compatible from release to release.
Also, if you run Windows 8, do not forget that it might complain about the fact it doesn’t recognize the application. In that case, click More Info:
Then click Run anyway
Enjoy the new release!