Installation is easy.
Install all dependencies, which are just Theano and h5py (
pip install theano h5py).
For TensorFlow, use
pip install tensorflow-gpu and make sure that CUDA and cuDNN can be found.
Then just checkout the Git repository of RETURNN (https://github.com/rwth-i6/returnn/) and you are ready to go.
See Basic usage for the basic usage.