Run make build in the cockroach repo and copy the binary to ./bin/cockroach (relative to wherever you have downloaded these scripts).
Run init.sh once, then run start.sh 1, start.sh 2, and start.sh 3 in separate terminals. After that, run shell.sh to start a SQL shell.
To wipe everything and start over, kill all the processes started by start.sh and delete the node* directories.