Refer to the INSTALL in the source distribution for detailed installation instructions. Note that there is no compilation step as with many other GNU packages, as DejaGnu consists of interpreted code only.
Save for its own small testsuite, the DejaGnu distribution does not include any testsuites. Testsuites for the various GNU development tools are included with those packages. After configuring the top-level DejaGnu directory, unpack and configure the test directories for the tools you want to test; then, in each test directory, run make check to build auxiliary programs required by some of the tests, and run the test suites.