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Memcached works on most Linux and BSD like systems. There is no official support for windows builds.
From a package
Generally, you should install memcached from a package provided by your operating system. The OS will solve dependencies for you and take care of security updates.
It's very simple. For Debian or Ubuntu:
apt-get install memcached
yum install memcached
See the documentation for your OS's package management system for more information.
Problems with packages
Most users run an older OS, such as an Ubuntu Long Term Support release from several years ago or more. Please keep in mind that old OS's don't have newer versions of memcached. You may be exposed to bugs or be missing on new features. Even new versions of some OS's don't have the latest version available.
If you run into bugs on using out of date software there isn't much we can do for you. Please try to upgrade your package, or build from source.
Memcached depends on libevent. If you're running an OS installed after 2010 the package provided by your OS should be good enough.
apt-get install libevent-dev
yum install libevent-devel
...or whatever's necessary for your OS. If desired you can build from source as well.
Installing from source:
wget https://memcached.org/latest [you might need to rename the file] tar -zxf memcached-1.x.x.tar.gz cd memcached-1.x.x ./configure --prefix=/usr/local/memcached make && make test && sudo make install
./configure --help for full options. SASL support needs some optional
Install a client
Memcached on its own is simply a key/value store daemon. Installing it does not automatically accelerate or cache any of your data: Your applications need to be programmed to utilize the service. Applications will need clients, of which there should be ones readily available for your language of choice.