Ctrl + M will bring up the main menu or you can just click the right mouse button. In the menu that comes up is an option to install, though I suggest you play with the live cd and really get to know how things work before installing - that's the beauty of a live CD - - exploring and playing and not ruining anything. Check out the apps and the file manager, see what happens when you stick a USB flash drive in and how to unmount the flash drive, cruise the internet and smile with delight when youtube videos just "play."
Lots and lots to explore.
Have fun! Let us know how it goes.