Well, if you follow the installation guide then things should work fine (unless, like Luca mentioned, you're trying to install a 2.X version). If you still have issues, post specifically what problems you have (symptoms, error messages and/or logs, etc).
Unfortunately, telling you how to install Nagios from start to finish in a forum is illogical (and as Spock has so often shown us, we can't be having that). It would make for a very long post and would probably annoy people reading the thread that want to help.
If you have an existing setup, let's try and figure out what we need to fix. Or you can try a fresh install (following the docs carefully, of course) and we can go from there.