Introduction to OpenCV:
The easiest way to learn OpenCV is to buy & read the book "Learning OpenCV" from O'Reilly. Otherwise you can follow these instructions depending on your C/C++ compiler.
This webpage explains how to setup OpenCV v2.1.0. There is a newer version of OpenCV available (v2.2.0), but it seems to still have many bugs and is more difficult to setup compared to v2.1.0, so this tutorial explains v2.1.0 only.
Note: I have been told that some info on this page may eventually be added to the official OpenCV documentation, but for now is available here.