Update: links updated to changed package names
Until today you had basically two options to install the Office Developer Patterns and Practices PowerShell Cmdlets: you either downloaded the GitHub repository and build your own version, or you downloaded the binary installers and installed the module. While both ways will be supported in the future, I believe we have a better/easier way to distribute the cmdlets, and that's through the PowerShell Gallery available at https://www.powershellgallery.com.
If you're on Windows 10, you're all set. If you are on a different version of Windows you will have to install the Windows Management Framework 5.0. See the PowerShell Gallery homepage for more information. Then, if you meet the requirements, it's very simple to install the cmdlets.
If you previously used the binary installers I recommend you to uninstall that one first, and then run the install-module command.
The moment we release an updated version of the cmdlets (which we do in principle on a monthly basis), just run
Update-Module -Name SharePointPnPPowerShellOnline
or just run Update-Module without parameters which will update all available updates for the modules you have installed.
To uninstall a module, use the Uninstall-Module cmdlet with the appropriate parameters.
It can't be much easier than that!