There are multiple download options depending on the platform.
The windows version is a zip file that contains all what is needed to run xye on windows. It is portable software so you do not need to install it and may keep it in a USB disk. Just extract the zip file to a folder and then click xye.exe.
Xye is cross platform. It simply requires SDL, SDLImage and SDLTTF to compile, although the ./configure - make combo has only been tested on linux distributions, it should be possible to compile on other platforms that can use SDL and SDLImage and if not it should be easy to port it to that platform by modiffying the configure script. You can also try a binary package (see bellow).
Ports and binary packages
Xye is cross platform software thanks to the SDL library. This section includes links to 3rd party ports and binary packages of the game that will make you able to play the game in other platforms. Note that of the following packages, only the openSUSE one is updated to the most recent version (0.9.3). For now, use the tar.gz package if you want the newest version in other platforms.
Ubuntu Jaunty/Lucid/Maverick/Natty (9.04,10.04,10.10,11.04,11.10) .deb (32/64 bits) (xye 0.12.0 or 0.11.1): Through playdeb.
openSUSE (xye 0.10.0): It is available in the games repository thanks to Vincent Petry. You may also find the rpm package here.
Ubuntu Hardy (8.04) .deb (32/64 bits) (xye 0.8.0): http://www.getdeb.net/app.php?name=xye Thanks to getdeb.
If you have made a binary package (rpm / deb) or managed to port the game to another platform or have updated one of the packages already listed here, I'll appreciate if you send me a link to it so I can include it in this list.
Download Page at sf.net
The download page contains links to source code and other versions of the game. You can also download the Kye2Xye converter that is not really needed now that xye can open .kye files directly, but the conversion can be useful when making custom levels.