Instructions on getting octave set up or installed.
Installing Octave for debian systems (Debian, Ubuntu):
Simple: sudo apt-get install octave
Advanced: Well, if you want to install other external packages
sudo apt-get install octave-control octave-image octave-io octave-optim octave-signal octave-statistics
For furter details like
A very good detailed wikis are present in Octave's wiki pages
For Debian or Ubuntu look at this - wiki
For Windows have a look at this - wiki
And for Mac OS X look at this - wiki