To install, first make sure that you have the FMOD Engine library for you platform somewhere in your path, so Python will be able to find it. On Linux, libraries are searched for in LD_LIBRARY_PATH.
To download the FMOD Engine library, visit http://www.fmod.org/download. The library is free to download, but requires a free account to be made first.
Then, install pyfmodex via pip, easy_install or the setup.py way.
To verify if everything works, open a Python REPL and try importing pyfmodex:
If there is no error: good, it worked. :-)