To test and play with symfony on your local server, your best option for installation is definitely the sandbox, which contains a preconfigured symfony environment.
For a real development or in a production server, opt for the PEAR installation or the SVN checkout. This will install the symfony libraries, and you still need to initialize a project and an application. The last step of the application setup is the server configuration, which can be done in many ways. Symfony works perfectly fine with a virtual host, and it is the recommended solution.
If you have any problems during installation, you will find many tutorials and answers to frequently asked questions on the symfony website. If necessary, you can submit your problem to the symfony community, and you will get a quick and effective answer.
Once your project is initiated, it is a good habit to start a version-control process.
Now that you are ready to use symfony, it is time to see how to build a basic web application.