Don't download — link
A prebuilt version of highlight.js is hosted at Yandex and you can just link to it directly:
<script src="http://yandex.st/highlightjs/6.1/highlight.min.js"></script>
This prebuilt version contains only a subset of most commonly used languages, namely: HTML/XML, Javascript, CSS, PHP, Ruby, Perl, Python, C++, C#, Java, SQL, Bash. For other languages download a custom package (see below).
You also can link to various style themes for highlight.js:
<link rel="stylesheet" href="http://yandex.st/highlightjs/6.1/styles/default.min.css">
For available styles look into the source of the highlight.js test page (and don't forget to add ".min" before ".css".
Custom package
Highlight.js supports many languages and may be rather big. Your download will include a packed production version with only chosen languages.
Include in highlight.pack.js: