In regular apt-get packages you would normally find kubectl, kubeadm and kubelet. If you use kubeadm to create the cluster it will automatically prepare kube-proxy as well (in the form of a container, as the rest of the elements of the kubernetes control panel). Therefore, you wouldn't need to install it separately.

If you use the official kubernetes tarball and try to manually install the cluster by yourself, you will need to configure kube-proxy just like the rest of the elements, but the binaries will be included in the tarball. This documentation shows the essential options to configure it: https://kubernetes.io/docs/getting-started-guides/scratch/#kube-proxy. Another resource is Kubernetes the hard way: https://github.com/kelseyhightower/kubernetes-the-hard-way/blob/master/docs/09-bootstrapping-kubernetes-workers.md

In most cases installing kube-proxy onthe node it self is not required as a common pattern is running kube-proxy as a DaemonSet in your kube cluster.