Prison Escape is a modification for Half-Life 2.  As such, Half-Life 2 and Half-Life 2: Episode One are required to play.

To install the game, make sure Steam is not running, then unzip the Prison Escape folder into the SourceMods directory (usually C:\Program Files\Steam\steamapps\SourceMods).

Once all the files are copied, start Steam and launch "Prison Escape" from the "My games" tab.

To start a new game, click "New Game", then "Chapter 1", and finally "Start New Game."