I used Docker for Windows, though I'm running Linux containers with the WSL (Windows subsystem for Linux).

For Linux, depends on  OS.  There is a docker application which adds the engine, a client, and a daemon server.
Ubuntu: https://www.digitalocean.com/community/tutorials/how-to-install-and-use-docker-on-ubuntu-16-04
Redhat: https://www.unixarena.com/2018/06/how-to-install-docker-on-redhat-linux-rhel-centos.html/

Others, Google for  what to do. Basically add a key for the docker repository, then yum, apt-get, etc. Mac, there's an equivalent docker client.