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Org can be setup in many ways

1. Just use what comes with emacs
2. Download and install a stable recent org
3. Use emacs package manager
4. Stay bleeding edge with git

I am going to describe 2 which is probably the best level to start with.
[I use 4. 3 I dont know much about]

Stable Recent Setup

1. Check current version of org thus M-x org-version (in emacs)
2. Download from http://orgmode.org/
3. Untar it into some place like ~/.emacs.d/downloads
4. Check that the directory ~/.emacs.d/downloads/org-mode/lisp exists and is populated with .el (Elisp) files

5. Add these lines to your init.el

   (add-to-list 'load-path (expand-file-name "~/.emacs.d/downloads/org-mode/lisp"))
   

   This should go before other org-related setups like (require 'ox-md)

6. Close&restart emacs; Check (1 above) that your org version is bumped up