From your 2nd stated line what i understand is you have admin rights and you need to install the Classic client console on your local machine. Once the install of client is completed you would want to connect to a sandbox which can be hosted or On prem.
The campaign client and the server are installed separately. Assuming you have the setup files already and if not you have to gain access to Adobe Support portal, you need to be part of customer organization that has bought the Adobe Campaign license. You have to raise a ticket to support team and they will provide you the latest setup files for server and client.
Client Installation: The client installation is simple and you can do it on your side irrespective of whether you are on an on-premise architecture or an Adobe hosted architecture.
Server Installation: If you are an Adobe hosted customer, then you have to reach out to the campaign support team to get your server upgraded. If you are an on-premise customer, then you have to perform the installation on your side.