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 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++ \ eglibc-devel texinfo chrpath ccache SDL-devel xterm
sudo zypper install python gcc gcc-c++ git chrpath make wget diffstat texinfo python-curses 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 on the LayerIndex page under Distribution Layers (see links in the far right hand column).