Ι get this message when I use commands like clrscr(); system("pause"); etc...
OK, I'll try to explain it as simply as I can.
You can't install it.
"conio" (from CONsole I/O) was a C language module provided by Borland in the (now ancient) Borland C and Turbo-C compilers. The purpose of conio was to provide certain functions that would make it easier to make text-based user interfaces in the MS-DOS console system (like the original Windows 3.1 GUI).
It was only ever used when programming for MS-DOS and pre-WindowsNT versions of Windows based off of MS-DOS (like Windows 3.1).
There is no conio module for OS X. Therefore you cannot install it.
I'm not even sure how, given your self-declaration as a newbie, you would have even run across the need to do a clrscr() call...are you trying to learn C from some old library book from the 90's? Usually people who run into this are trying to port old, old code to OS X, hardly a newbie sort of task.
Perhaps you could try explaining what you are trying to program; then people could provide more relevant advice.