First of all, you need to make sure you are using a supported operating system. Typically if you're using Ubuntu you'll be fine. The other systems are experimental and I cannot speak to how well they work (someone else want to chip in about that?) http://wiki.ros.org/ROS/Installation
You then have to install a version of ROS. My suggestion would be Hydro (newest) or Groovy(second newest). http://wiki.ros.org/hydro http://wiki.ros.org/groovy
I would read the first two things listed in the tutorials here: http://wiki.ros.org/ROS/Tutorials They should give you a little more background.
Edit: I forgot to add in this! http://wiki.ros.org/ROS/StartGuide I found reading the Start Guide immensely helpful because you really get a better understanding for how the structure behind this all works.
Once you're comfortable, then you can start looking into getting the Nao packages.
Edit2: http://wiki.ros.org/Robots/Nao
One thing you'll learn about here is that no one will bother to teach you about something that you can easily find on the help pages. I would ask more specific questions about specific roadblocks you encounter once you're more familiar with ROS.
Best of luck!