To start with you need to download the latest stable release of CKeditor.
Extract the downloaded file and place the ckeditor/ folder in your applications webroot directory. (beside "protected" and "css" and other directories)
This article explains issues about installing XAMPP server package (Lite version) on Windows OS and configuring it for serving webapps written in Yii. Please note, that XAMPP is available for many more platforms and systems. I write about Windows edition as it was the only one tested by me.
After installing Yii basic application on our systems, most of the time we want to have multiple environment such as local, dev and live setup. Most of the times when we want to make changes to configuration file, we have to over-write configurations file for each environment.