Prebuilt Packages
Most Linux distributions and BSD variants have Nginx in the usual package repositories and they can be installed via whatever method is normally used to install software (apt-get on Debian, emerge on Gentoo, ports on FreeBSD, etc).
Official Source Download
Building Nginx From Source
After extracting the source, run these commands from a terminal:
./configure make sudo make install
By default, Nginx will be installed in /usr/local/nginx. You may change this and other options with the compile-time options.