Start off by installing the standalone Tcl/Tk version of ProB. Follow the instructions in Installation.
Start ProB by double-clicking on ProBWin (for Windows users), or by launching StartProB.sh from a Terminal (for Linux and Mac users). Mac users may also be able to launch ProB by double-clicking on StartProB.sh.
This should bring up a window as follows:
In case this does not work, please have a look at the output of ProB in the terminal window (on Windows a separate window will be automatically started). Normally, it should look as follows: