Anyhow, you need to download and install both for the work that we will be doing.
If you are running Debian on a 32-bit Intel machine, then you have it easy. There are .debs of the versions of Player and Stage that you want.
If you aren't, then you will have to download the source code and build from that. My experience, doing the installation under Yellow Dog Linux (a rebadged version of Red Hat) on a PowerPC and under Ubuntu on a 64-bit Intel, suggests that this is easy, but a bit fiddly. Player builds fine in a standard Unix environment, Stage requires some graphic handling libraries, but if your distro doesn't have them, these are easy enough to get hold of (you basically need to install the latest stable version of GTK+).
It is also possible to do the installation under Mac OSX.
If you run Windows, then you'll need to find some way of running some flavor of Unix on your machine, either creating a Linux partition, or running some Unix emulator.
An alternative route to installation is to use RoboDeb, a precompiled version of Player/Stage that runs on VMWare (which you can install on a Wintel machine).
I haven't played with RoboDeb, so I'm not sure if it will be sufficient for the course; however, it should allow you to get started.