For all devices other than Windows Phone 7, just point your device's browser at https://customer.scorpionsoft.com/gettoken. The site will pick up the type of device you're using and offer to download the correct SoftToken for you. If you access it from a desktop PC, it will give you a list of all of the available tokens that you can download.
For Windows Phone 7, the SoftToken is available as a free download in the Windows Marketplace. Just hit the Marketplace icon on your home screen and search for AuthAnvil.