The process is entirely legal. However, what you do with the client is subject to copyright laws. Downloading copyrighted movies, software, or music without permission is illegal in most jurisdictions.

You must open the specific port (often 2710 or 6969 ) in your server's firewall to allow BitTorrent clients to communicate with the tracker. Is BT4X Right for You? Transmission

Since the keyword search implies a direct setup, here is the standard installation path.

The installer may ask users to choose the installation location. It is advisable to select a location with sufficient disk space.