This short guides shows you how to setup a new skeleton Jekyll project, using the Jekyll CLI to generate the files for you.
This guide does not require Jekyll to be installed globally. Rather, it takes you through installing Jekyll in a new project that only has one file in it, then uses that project Jekyll to create all the Jekyll base files in the same directory.
Under Jekyll docs, you can see the Installation page. That provides links to install for each OS. These are covered in some detail here.
See also New under my Jekyll recipes for a few ways to set up a new Jekyll site.