First read this:
http://opencv.willowgarage.com/wiki/InstallGuide

These installation instructions are for visual studio in windows:


A. download cmake:
http://cmake.org/cmake/resources/software.html
1. Install cmake using default options


B. download opencv:
http://sourceforge.net/projects/opencvlibrary/files/opencv-win/2.3.1/OpenCV-2.3.1-win-superpack.exe/download
1. extract to folder (opencv source folder e.g. C:\opencv)

C. run cmake with gui
1. press configure and select IDE / compiler (verify correctness of 32/64 bit)
2. select opencv source folder (e.g. C:\opencv )
3. select opencv binary (build) folder  (e.g. C:\opencv)
4. press configure

-take notice of the current flags:
USE IPP
USE TBB
USE CUDA
-set these to true only if you have them installed and wish to use them (Each confers a performance increase)
-set BUILD_EXAMPLES to true

5. press configure again
6. press Generate

D. launch Visual Studio
1. locate and open the "OpenCV.sln" solution file in your generated build folder (eg: "C:\OpenCV\OpenCV.sln"). Select "Debug" configuration, build the solution (Ctrl-Shift-B), and/or select "Release" and build it
2. add <cmake_binary_dir>\bin\Release, <cmake_binary_dir>\bin\Debug (containing "opencv_core*.dll" and "opencv_core*d.dll", respectively) to the system path (My Computer--[Right button click]-->Properties->Advanced->Environment Variables->Path) 

comments: 
1. you will have to copy relevant images and data for the samples (e.g. from C:\opencv\samples\...) to the bin directory (where the compiled exe are) for them run properly
2. Using release mode for build confers atleast a 2 fold increase in speed