Now that you have a good understanding of what we'll be using, let's start installing what we'll need. Haxe, OpenFL, and HaxeFlixel are all designed to be easy to set up, so this is going to be pretty straightforward.
Go to http://haxe.org/download/ and download the installer for your operating system. Run the installer; be sure to install both Haxe and Neko when given the option.
This will install the Haxe framework, which includes Haxelib, a useful tool for installing Haxe frameworks and libraries. You will typically use this to install all Haxe libraries, which will make the installation of OpenFL and HaxeFlixel incredibly straightforward.
To install OpenFL, open a command window (or terminal on OS X and Linux). ...