To download and set up KMS, follow these steps: 1) Ensure you have the necessary permissions and a valid KMS host key from Microsoft. 2) Download the KMS host software from Microsoft’s official website or through authorized partners. 3) Install the software on a server or a designated machine within your network. 4) Configure the KMS host using the command prompt by entering the command to activate the host with your KMS key. 5) Finally, configure client machines to connect to the KMS host for activation. Always refer to the official Microsoft documentation for detailed instructions and best practices.