Ensure that you have the following installed:
httpd, gcc, glibc, glibc-common, gd, gd-devel

Create accounts and groups.
useradd -m nagios
passwd nagios
groupadd nagcmd
usermod -a -G nagcmd nagios
usermod -a -G nagcmd apache

Build nagios from the source.
cd /usr/local/src
Download nagios and nagios-plugins from http://www.nagios.org/download/ to /usr/local/src.
tar -zxvf nagios-3.0.5.tar.gz
cd nagios-3.0.5
./configure –with-command-group=nagcmd
make all 2>&1 | tee MAKEALL.log
make install 2>&1 | tee MAKEINSTALL.log
make install-init 2>&1 | tee MAKEINSTALLINIT.log
make install-config 2>&1 | tee MAKEINSTALLCONFIG.log
make install-commandmode 2>&1 | tee MAKEINSTALLCOMMANDMODE.log
cd /usr/local/nagios/etc/objects/
cp -rp contacts.cfg contacts.cfg.orig
vi contacts.cfg
htpasswd -c /usr/local/nagios/etc/htpasswd.users nagiosadmin
cd /usr/local/src/nagios-3.0.5
make install-webconf 2>&1 | tee MAKEINSTALLWEBCONF.log
service httpd restart
cd ..
tar -zxvf nagios-plugins-1.4.13.tar.gz
cd nagios-plugins-1.4.13
./configure –with-nagios-user=nagios –with-nagios-group=nagios
make 2>&1 | tee MAKE.log
make install 2>&1 | tee MAKEINSTALL.log
chkconfig –add nagios
chkconfig nagios on

This is a great way to debug errors in your configuration files:
/usr/local/nagios/bin/nagios -v /usr/local/nagios/etc/nagios.cfg

service nagios start

I created configuration files based the template.cfg provided in the distribution in the objects directory.
cd /usr/local/nagios/etc/objects/

You have to make changes to your nagios.cfg file based on any new configuration files you created above.
vi ../nagios.cfg

Check your configuration:
/usr/local/nagios/bin/nagios -v /usr/local/nagios/etc/nagios.cfg

You have restart nagios whenever you make a change to the configuration files.
service nagios restart

Installed NSClient on a Windows 2003 server to monitor it in nagios.
http://files.nsclient.org/x-0.3.x/NSClient%2B%2B-Win32-0.3.5.msi
Edit nsc.ini. The file is pretty well documented.

The following is how I installed nrpe on a linux system to allow nagios to monitor it.
Install nrpe to allow nagios access to system status
cd /usr/local/src
wget http://internap.dl.sourceforge.net/sourceforge/nagios/nrpe-2.12.tar.gz
useradd nagios
passwd nagios
wget http://superb-east.dl.sourceforge.net/sourceforge/nagiosplug/nagios-plugins-1.4.13.tar.gz
tar zxvf nagios-plugins-1.4.13.tar.gz
cd nagios-plugins-1.4.13
./configure 2>&1 | tee CONFIGURE.log
make 2>&1 | tee MAKE.log
make install 2>&1 | tee MAKEINSTALL.log
chown nagios.nagios /usr/local/nagios
chown -R nagios.nagios /usr/local/nagios/libexec/
cd ..
tar zxvf nrpe-2.12.tar.gz
cd nrpe-2.12
./configure 2>&1 | tee CONFIGURE.log
make all 2>&1 | tee MAKEALL.log
make install-plugin 2>&1 | tee MAKEPLUGIN.log
make install-daemon 2>&1 | tee MAKEDAEMON.log
make install-daemon-config 2>&1 | tee MAKEDAEMONCONFIG.log
make install-xinetd 2>&1 | tee MAKEXINETD.log
vi /etc/xinetd.d/nrpe
…
only_from = 127.0.0.1 192.168.0.3
…
vi /etc/services
…
nrpe 5666/tcp # NRPE
…
yum install xinetd
service xinetd start
netstat -at | grep nrpe

Verify nrpe is working:
/usr/local/nagios/libexec/check_nrpe -H localhost
/usr/local/nagios/libexec/check_nrpe -H localhost -c check_users
/usr/local/nagios/libexec/check_nrpe -H localhost -c check_load

Add customized commands to support the machine
vi /usr/local/nagios/etc/nrpe.cfg
…
# Customized for this machine
command[check_users]=/usr/local/nagios/libexec/check_users -w 5 -c 10
command[check_load]=/usr/local/nagios/libexec/check_load -w 15,10,5 -c 30,25,20
command[check_hda1]=/usr/local/nagios/libexec/check_disk -w 20% -c 10% -p /dev/hda1
command[check_hda2]=/usr/local/nagios/libexec/check_disk -w 20% -c 10% -p /dev/hda2
command[check_hdd1]=/usr/local/nagios/libexec/check_disk -w 20% -c 10% -p /dev/hdd1
command[check_hdd2]=/usr/local/nagios/libexec/check_disk -w 20% -c 10% -p /dev/hdd2
command[check_hdd5]=/usr/local/nagios/libexec/check_disk -w 20% -c 10% -p /dev/hdd5
command[check_zombie_procs]=/usr/local/nagios/libexec/check_procs -w 5 -c 10 -s Z
command[check_total_procs]=/usr/local/nagios/libexec/check_procs -w 150 -c 200
command[check_mailq_timeout]=/usr/local/nagios/libexec/check_mailq -M postfix -w 5 -c 15
command[check_mailq]=/usr/local/nagios/libexec/check_mailq -w 10 -c 20
command[check_procs_named]=/usr/local/nagios/libexec/check_procs -C named -t 3 -w 1:1
…