PDE or Plug-in Development Environment is part of Eclipse SDK. If you have using Eclipde IDE for Java Developers or some other distribution like this then you will have only Eclipse Platform and not the SDK. The various distribution packages are listed here.
The SDK can be installed from the update site. The URL for Galeleo repository is Galileo - http://download.eclipse.org/releases/galileo. Use Help > Install new software... to install the new features to your existing eclipse installation.
Only PDE too can be installed. Open the Install (new software) wizard and use link mentioned above. Filter the results for "Eclipse plug-in development environment". The PDE will be available as "Eclipse plug-in development environment" under "General Purpose Tools" category.
And how to install Eclipse? Well, there is no installer. Just download it and unzip it wherever you wish on your hard disk. To uninstall, just delete it. Eclipse needs JRE (or JDK) 1.4.2 or above. So make sure one is available in your path settings.