Mist is the Ethereum's application browser. That's a bridge program which allows its users to run DApps on their computers without having to install source code or interact directly with the blockchain. You can also get an Ethereum address using Mist browser. To do that, you need to download the correct version of Mist for your system and simply run the executable, and after some steps in wizard you will obtain an Ethereum address.
You can also get the last version or to build the wallet from sources here.