For windows use the windows installer: http://www.mediafire.com/download/od18j361y6mpppo/ENIGMA+Zip+Installer.exe
It will extract where you choose (I extract to desktop so it works there as well). If it doesn't work initially then try again like this:
"Have you tried deleting everything, extracting ENIGMA, then move winpatch.zip to a different folder and run ENIGMA.exe. This will mean that ENIGMA.exe won't extract the old .jar and and won't run it, it will just clone git and close. Then extract the .zip manually, but replace the lgm16b4.jar and plugin.jar with the new ones Robert gives: http://enigma-dev.org/forums/index.php?topic=1245.0
(remember to rename it to lgm16b4.jar) . And the finally run the ENIGMA.exe. Now it will compile the .dll and it should work."
1) So extract the ENIGMA.
2) Move the winpatch.zip.
3) Launch ENIGMA so it downloaded the newest version from GIT.
4) Extract the winpatch.zip manually.
5) Replace the included .jar with the one provided by Robert.
6) Launch trough ENIGMA.exe.
This works for me. I hate that we still haven't made this easy, but because of the rapid development stuff breaks all the time. I think the newest GIT version doesn't even work.
edit: You might also use this: http://enigma-dev.org/downloads/2013-05-21/ENIGMA-Installer.exe
But I haven't tried it.