First you'll need to make sure your system has a c++ compiler. For OSX, XCode will work, for Ubuntu, the build-essential and libssl-dev packages work.
To install create a folder somewhere in your filesystem with the "nvm.sh" file inside it. I put mine in a folder called ".nvm".
Or if you have git installed, then just clone it:
git clone git://github.com/creationix/nvm.git ~/.nvm
To activate nvm, you need to source it from your bash shell
. ~/.nvm/nvm.sh
I always add this line to my ~/.bashrc or ~/.profile file to have it automatically sources upon login.
Often I also put in a line to use a specific version of node.
To download, compile, and install the v0.2.5 release of node, do this:
nvm install v0.2.5
And then in any new shell just use the installed version:
nvm use v0.2.5
If you want to see what versions you have installed issue:
nvm ls
To restore your PATH, you can deactivate it.
nvm deactivate