This version of regex++ is part of the boost library, the full boost distribution is available from www.boost.org, this distribution contains just the regex++ code and those supporting files required to build the library and its demo programs.
The documentation is present in the libs/regex directory, see index.htm for full details, alternatively skip directly to the overview, or the installation instructions.
Source files for the regex++ library are in libs/regex/src and makefiles for the library in libs/regex/build.