Since drupal requires Apache, MySQL, and PHP. Most people new to drupal usually do not have Apache, MySQL and PHP installed and properly configured. Therefore, I would cover their installation and configuration as well. So Let's begin:
You can either install a pre-built package such as the one offered at devside.net or set up your own system. The pre-built versions are usually up an ready in a few minutes but give much less flexibility and you panic every time you encounter even a minor configuration issue. Setting up your own system is much more rewarding as you learn more about your system and also end up with a system which suits your needs better.
If you wish to use the pre-configured package, available at devside.net, go to http://drupal.org/node/195238 for installation instructions.
To build your own system, continue reading.