Instead of downloading an archive you could clone the source code from GitHub. There are a few advantages: first, in this way you will always have the latest bugfixes, even before they are available in a release.
Second, version control makes it easy to upgrade your code, even when you made custom changes in the core of Fork CMS. Only database changes cannot be handled (yet).
If you're not familiar with Git or GitHub yet, here are some good resources to get you started:
Especially useful is the GitHub guide to forking a project. (Fork in this context has nothing to do with our name.)
Instead of copying all code from other repositories, Composer is used to manage the dependencies. Make sure Composer is installed on your machine.
In Terminal on Mac OS X or in Command Prompt on Windows, navigate to the root of your project folder and execute this command:
composer install -o
All dependencies are now installed in the vendors folder.
Go through the upgrading guide to find out how you can keep your setup up-to-date with Git.