I am new with HA Proxy and I couldnt find an official documentation on how to install it.
Can someone please help me?
There is an INSTALL document in the tarball, as well as a starter guide in doc/intro.txt. If you install on a specific OS from your OS repository, refer to your OS documentation.
where can I find this file?
In the tarball or in the git tree on available on http://git.haproxy.org/.
The intro is also available online at:
https://cbonte.github.io/haproxy-dconv/1.8/intro.html