The Android SDK for Windows, OS X, and Linux can be found here: Android SDK | Android Developers. Below the download links are instructions (they generally assume you use Eclipse for development, which is how I set it up on my box, but I think there are instructions for other IDEs as well).
Eclipse also uses the Android Development Tools (ADT) plugin, and instructions for installing that and setting it up are also on the SDK page (at the relevant step of instructions).
