TruffleRuby is designed to be run with a JVM that has the Graal compiler.
The easiest way to get a JVM with Graal is via the GraalVM, available from the Oracle Technology Network. This includes the JVM, the Graal compiler, and TruffleRuby, all in one package with compatible versions. You normally want the version that includes the Labs JDK.
http://www.oracle.com/technetwork/oracle-labs/program-languages/
Inside the GraalVM is a jre/languages/ruby directory which has the usual
structure of a Ruby implementation. It is recommended to add this directory to
a Ruby manager, see Configuring Ruby managers for more
information.
You can also use GraalVM to run a different version of TruffleRuby than the one it packages, but this not advised for end-users.
Next step: Configuring Ruby managers.