There are two ways of doing this.

You can install Wunderlist via the Ubuntu Software Center. Open the Ubuntu Software Center, then search for Wunderlist - you can then install it from there. However, at time of writing, this will not work in 11.10, due to some incompatibility issues.

However, you can try the manual way outlined below.

First, download Wunderlist from their website.

Now, you need to unpack the .tgz that it comes in - run the following:

tar xvzf ./Downloads/wunderlist*.tgz