There are three types of downloads available:
To use KeeperFX CCP, you only need a Complete version, and your original Dungeon Keeper CD. You may also download the latest patch (if available), but the game should work even without it.
For installation details, see the KeeperFX wiki.
Download complete version 0.4.8 (439MB)
Download ver 0.4.8 source code
Here you can find some variations of KeeperFX.
Mirror of complete version 0.4.8 at Github
Mirror of complete version 0.4.8 at Mediafire
If you wish to have the really latest version, you can download (in other words, checkout) the current source code from GitHub.
To recompile this source, you only need MinGW - install it and type "make all" in your checkout folder. Note that some versions of MinGW have "make.exe" renamed to "mingw32-make.exe" for compatibility; in this case type "mingw32-make all".
If you want a binary build of the code repository, check nightly builds page.
If there's something wrong with the current release, you can try older versions of KeeperFX available here. Still, it is strongly recommended to use the latest version.
Please report any problems or dead links.
Read README file before using KeeperFX!