Some awesome Burp Suite extensions like AuthMatrix, SAML Editor, etc require Jython. You can install Jython with the following instructions.
Visit https://www.jython.org/download.html and download the latest Jython standalone JAR file.
In Burp Suite, go to Extender -> Options. Under the section Python Environment, click Select file.
In the popup window, navigate to the saved location and click on the downloaded Jython JAR file. In my case, the file name is
jython-standalone-2.7.2.jar. Then click on Open.
The Jython JAR file location will now be loaded in the Python Environment section.