To get express.js installed check out the primary instructions in the README.md file here: https://github.com/visionmedia/express/blob/master/Readme.md
The basic installation is simply
npm install express
You can also install express to use the CLI (Command Line Interface) to create skeleton applications. If you want to use express in that way it is best to install express at a global level, which is the following command
sudo npm install express -g