BLZ depends on NumPy (>= 1.7) and, optionally, Numexpr (>= 2.2). Also, if you are going to install from sources, a C compiler.
Go to the BLZ main directory and do the typical distutils dance:
$ python setup.py build_ext -i
$ export PYTHONPATH=. # set PYTHONPATH=. on Windows
$ python blz/tests/test_all.py
$ python setup.py install
If you have cloned the BLZ repository, you can follow the same procedure than for the tarball above.
Also, you can generate documentation in both pdf and html formats:
$ cd docs
$ make pdf # PDF output in docs/BLZ-manual.pdf
$ make html # HTML output in docs/html/
You can always test the installation from any directory with:
$ python -c "import blz; blz.test()"