1) Go to https://www.scummvm.org/downloads/#release and download the relevant installer or zip file for your operating system.

How Do I Know If My Computer Is 64-bit?

Note: x86 means 32-bit, while x64 means 64-bit.

2) Run the installer to install ScummVM or extract the zip file’s contents to a folder of your choice.

3) Per ScummVM - Adding and Playing a Game, point ScummVM to the location of your Beneath a Steel Sky folder.

Note: In order to run Beneath a Steel Sky, the game’s folder must contain all of the following files:

sky.cpt
sky.dnr
sky.dsk

ScummVM Wiki - Beneath a Steel Sky

4) In the upper right-hand corner of the ScummVM window, press Start to run the game.

Other Useful Links:

ScummVM - Documentation
ScummVM - Wiki
ScummVM - Freeware Games Download