CUDA installation instructions are in the "Release notes for CUDA SDK" under both Windows and Linux.
CUDA can be downloaded from CUDA Zone:
Follow the link titled "Get CUDA", which leads to http://www.nvidia.com/object/cuda_get.html
You have to install the driver first, then the CUDA toolkit, and finally the CUDA SDK.
For general discussion of setting up development environments, algorithms, optimizations and so on, please visit the DevZone forums.