You could build and compile Octave and spend hours doing this. Or you can install Octave on Ubuntu like this and spend 5 minutes.
On my quest to conquer the world. I decided to take the Machine Learning course from Coursera taught by Andrew Ng.
I am going to show you how to install Canopy on Mac for Machine Learning with Python in 5 easy steps. Canopy is an app that you can get for free.