MNE-Python is an open-source Python module for processing, analysis, and visualization of functional neuroimaging data (EEG, MEG, sEEG, ECoG, and fNIRS). There are several related or interoperable software packages that you may also want to install, depending on your analysis needs.
If you intend only to perform ERP, ERF, or other sensor-level analyses, MNE-Python is all you need. If you prefer to work with shell scripts and the Unix command line, or prefer MATLAB over Python, probably all you need is MNE-C — the MNE MATLAB toolbox is distributed with it — although note that the C tools and the MATLAB toolbox are less actively developed than the MNE-Python module, and hence are considerably less feature-complete.
If you want to transform sensor recordings into estimates of localized brain activity, you will need MNE-Python, plus FreeSurfer to convert structural MRI scans into models of the scalp, inner/outer skull, and cortical surfaces (specifically, for command-line functions mne flash_bem, mne watershed_bem, and mne make_scalp_surfaces).
Help with installation is available through the MNE Forum. See the Getting help page for more information.