The Ubuntu situation currently is... hairy.
Normally, you'd install packages in the package manager (ie. software center on ubuntu) but currently, the package in the Ubuntu 14.04 repositories is broken and contains a buggy, non-functional version of LMMS. We're still waiting for the Ubuntu maintainers to correct this error...
If you want to compile from source code, you can start here: https://github.com/LMMS/lmms/wiki/Compiling-lmms
An easier option is using the KXstudio repositories: http://kxstudio.sourceforge.net/Repositories And then using the package manager to install LMMS.