Find the download link for the latest stable version of Python and download it. Once the download is complete, run the file. A typical installer will guide you through the setup process, only requiring you to press 'Next'. However, there are some options that it presents whose meaning might not be immediately obvious. Of the options presented, ensure that you select the checkmark to add Python to the path.
Linux distributions often come with a version of Python already installed.
It is worth checking the version on your system, this can be done with running python3 -V from the command line.
If you would like to use a newer version, package managers often have several versions available.
For some package managers, you may need to add another source to retrieve versions not normally included in your distribution's package manager.
Installing from source is also always an option.
Note that if you just type python there is a chance that you will be running the older Python 2 version.