So you have the option to either load Bootstrap from a CDN (basically a hosted library you link to in a URL that you paste into the head of your HTML doc) or you can actually download the library files and include them in your project, most likely in its own directory. Bootstrap does come in a minified form to eliminate unnecesary whitespace and you can actually select only those components/modules that you want when you download it so it will create a much smaller package. Having done it both ways I haven’t seen a tremendous difference in how fast my pages load.
My advice would be to read over the Bootstrap documentation to get a sense of how the components work, decide on which ones you need for your project, and then download a package with just those components and use the minified CSS and JS files in your project. Bootstrap makes this really easy on its website, you just check boxes next to the components you want. But if you just want to hack around in it, simply downloading it or adding in the CDN link is perfectly fine.
If you really want to just play around with Bootstrap, I would recommend Codepen (http://codepen.io/). You can literally add Bootstrap to your pen by selecting it from a Dropdown. This is how I got comfortable using it, and it doesn’t take any effort on your part to download or link to anything to use it.