On Linux and BSD distributions with a package management system, it's quite easy: simply install the Open MPI package and everything should be set up and configured, ready to be used. Consult the manual for one's specific distribution, to see how to search for and install specific packages.
On Debian-based distributions, one would use:
$ sudo apt-get install openmpi-bin openmpi-doc libopenmpi-dev
The preceding command would install the Open MPI binaries, documentation, and development headers. The last two packages can be omitted on compute nodes.