In all three major desktop platforms (Linux, MacOS X, and Windows), OpenGL more or less comes with the system. However, you will need to ensure that you have downloaded and installed a recent driver for your graphics hardware.
Just like the "Open Source?" section explains, OpenGL is not a software product. it is a specification.
On Mac OS X, Apple's OpenGL implementation is included.
On Windows, companies like nVidia and AMD/ATI use the spec to write their own implementation, so OpenGL is included in the drivers that they supply. For laptop owners, however, you'll need to visit the manufacturer of your laptop and download the drivers from them.
Where can I download? #2
Updating your graphics drivers is usually enough to get the latest OpenGL implementation for your graphics hardware. This is sufficient for those who want to use applications that require OpenGL.
For programmers, installing drivers is generally insufficient. You will need to load the OpenGL function pointers, either manually or automatically with a library. More information on this can be found in the Getting started page.