To install zsh run:
(1) > sudo apt-get install zsh
We can run step (2) to see installed zsh version
(2) > zsh --version
in my case it was: zsh 5.1.1 (x86_64-ubuntu-linux-gnu)
And now install oh-my-zsh:
(3) > sh -c "$(curl -fsSL https://raw.githubusercontent.com/robbyrussell/oh-my-zsh/master/tools/install.sh)"