The setup of the Fedora Security Lab can be done by several ways.
There are two different Live images available of the Fedora Security Lab. Those images can be used to create physical CDs or Live USB key.
For further information please check the Making Media section in the Fedora Installation Guide.
You have a default Fedora installation and want all Fedora Security Lab packages installed, you can use the groupinstall feature of yum.
$ sudo yum groupinstall security-lab