Multimedia packages are made available on many alternative repositories, often because of distributions restrictions on available codecs due to patents in some countries (mainly US for the moment).
Everything would be perfect in a wonderful world if package builders would contribute to official distributions, and multimedia editors chose only free codecs to promote their use worldwide ... So try to stick to distributions deliveries?
Debian project ships Kdenlive packages since "squeeze" (6.0) release, however to benefit from recent updates and bugfixes you might consider upgrading to a "testing" release or even "sid".
Ubuntu also offers Kdenlive since "gutsy" (7.10), but for similar reasons it could be preferable to upgrade to the latest release.
In both cases a simple
apt-get install kdenlive should then work.
RPM packages are not yet maintained in official branch, so you must go through unofficial RPM Fusion repository. Follow the site recommendations to make them available and end with
yum install kdenlive
Building scripts are ready for up-to-date systems, so run respectively
emerge kdenlive or
pacman -S kdenlive or
pkg_add kdenlive, etc.
If you want to test latest committed code or your personal patches, you will have to build Kdenlive (and probably MLT) on your own.
You can use your distribution's package building procedure to use its software management system to install/upgrade/remove the binaries and data, and eventually share your builds (and even contribute to package maintainance - refer to the respective distribution manual).
If you prefer you can build & install Kdenlive to a local area (preferably not /usr, but rather /usr/local or $HOME/my_local_builds/kdenlive-last-release or similar). It is then recommanded to use the build script 
ENABLE_SWFDEC=0in the config variables of the script