Linux

Building PyMOL under Linux is very straightforward. Make sure that you have freeglut, GLEW, libpng, zlib, Python, tkinter and Python megawidgets installed on your system. Otherwise, get the corresponding packages for your distribution (definitely for freeglut, GLEW, libpng, Python and tkinter) or build the latest version from source (likely for zlib and Pmw).
Once you have satisfied these dependencies, just type in your shell:

$ python setup.py build
# python setup.py install
# python setup2.py install

If the build process succeeds, you will obtain a pymol executable in your current working directory.