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/hondam/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 v0.4.1 release of node, do this:

nvm install v0.4.1

And then in any new shell just use the installed version:

nvm use v0.4.1

If you want to see what versions are available:

nvm ls

To restore your PATH, you can deactivate it.

nvm deactivate

To set a default Node version to be used in any new shell, use the alias 'default':

nvm alias default v0.4.1