You have three choices for installing MySQL Proxy:
Precompiled binaries are available for a number of different platforms. See Section 126.96.36.199, “Installing MySQL Proxy from a Binary Distribution”.
You can install from the source code to build on an environment not supported by the binary distributions. See Section 188.8.131.52, “Installing MySQL Proxy from a Source Distribution”.
The latest version of the MySQL Proxy source code is available through a development repository is the best way to stay up to date with the latest fixes and revisions. See Section 184.108.40.206, “Installing MySQL Proxy from the Bazaar Repository”.