The one on GOG? I downloaded it. It's quite simple to get it running. You get an installer which will make an entry in your start menu.
If you want more modern graphics, you can download the fan-made high resolution pack here: http://hrp.duke4.net/download.php
To get that working, you need to install the file from GOG, run the file from the link above, then copy your 'duke3d.grp' file from the GOG install directory into the folder that the high resolution pack file created. You will need to launch the game from the .exe in the high resolution pack in order to see the improvements.