You don’t need to install anything to play with React.
To try React locally on your computer, download this HTML page and open it in your editor and in your browser!This is how this application does it.
The other option is seting up a modular JavaScript environment, e.g., by using Vite or CRA. However, React's new documentation, released on March 16, 2023, no longer recommends CRA as the go-to solution for creating React applications.