How does one install that, and where?

Like any other operating system, really: by downloading the appropriate installation media and creating a bootable USB stick to install from. After reading the FQA and other documentation, of course.

rio is the window manager for Plan 9. People have created patches for other window managers like dwm that attempt to mimic some of rio's key features such as window "swallowing" and the ability to draw new windows by simply clicking+dragging with the mouse.

If this is your first time ever encountering Plan 9, I would highly suggest watching some of the videos by adventuresin9; they're a solid intro to what the whole deal is with Plan 9.

Is this in a VM or on actual hardware?

This is bare metal, specifically on a Thinkpad T420. It is my current daily driver.