Before being able to build you will need to install a fairly short list of required software on your host system.
Note: for a headless (i.e. non-graphical / server) machine you can skip installing SDL and xterm, these are optional; however without SDL you will not be able to run graphical OS images within QEMU.
(Lists below borrowed from the Yocto Project Quick Start guide.)
sudo apt-get install gawk wget git-core diffstat unzip texinfo gcc-multilib \ build-essential chrpath libsdl1.2-dev xterm
sudo yum install gawk make wget tar bzip2 gzip python unzip perl patch \ diffutils diffstat git cpp gcc gcc-c++ glibc-devel texinfo chrpath \ ccache perl-Data-Dumper perl-Text-ParseWords perl-Thread-Queue SDL-devel xterm
sudo zypper install python gcc gcc-c++ git chrpath make wget python-xml \ diffstat texinfo python-curses patch libSDL-devel xterm
sudo yum install gawk make wget tar bzip2 gzip python unzip perl patch \ diffutils diffstat git cpp gcc gcc-c++ glibc-devel texinfo chrpath SDL-devel xterm
At this point you have a number of different alternatives:
Standalone OE-Core setup
As OE-Core can be used to build working images entirely on its own, you can get started with it immediately.
See OE-Core Standalone Setup for instructions.
Systems based upon OE-Core
There are a number of other systems that make use of the OE-Core metadata which provide their own set of setup instructions. Here are some links to "getting started" information for these:
More can be found in the layer index (click on Layers, then click on Filter Layers on the right hand side and make it so Distribution is the only ticked item.)