If you only want to develop luacode, you're lucky. It really easy, just download and unpack the GBALua dev-kit for your operating system. Right now, only windows is supported but mac and linux should be up very soon. No further installation is needed. Enter the 'examples' sub-directory and choose an example to build. Build by excecuting the batch-file called Build.bat. If no error occured, a file called Example[Number].mb.gba should have been created. Execute it, either in an emulator or on a real gba. If you recive any errors please check in the FAQ and if you can't find a solution there email me at email@example.com.
If you would like to modify the tools, the GBALuaCore file or is only interested in how it all works, you can download the source package. Makefiles is included but they might have to be modified to your platform and paths. The GBALuaCore file needs to be compiled with an ARM-compatible compiler, such as Devkitadv (which the makefile was designed to work with), HAM or ADS. Some adjustments might have to be done depending on what compiler is used. The tools should compile fine under any ordinary C++ compiler. Some tools doesn't even need a C++ compiler but should work in plain C.