To check the prerequisites for Kaldi, first run

  extras/check_dependencies.sh

and see if there are any system-level installations you need to do. Check the
output carefully. There are some things that will make your life a lot easier
if you fix them at this stage. If your system default C++ compiler is not
supported, you can do the check with another compiler by setting the CXX
environment variable, e.g.

  CXX=g++-4.8 extras/check_dependencies.sh

Then run

  make

which by default will install ATLAS headers, OpenFst, SCTK and sph2pipe.
OpenFst requires a relatively recent C++ compiler with C++11 support, e.g.
g++ >= 4.7, Apple clang >= 5.0 or LLVM clang >= 3.3. If your system default
compiler does not have adequate support for C++11, you can specify a C++11
compliant compiler as a command argument, e.g.

  make CXX=g++-4.8

If you have multiple CPUs and want to speed things up, you can do a parallel
build by supplying the "-j" option to make, e.g. to use 4 CPUs

  make -j 4

In extras/, there are also various scripts to install extra bits and pieces that
are used by individual example scripts.  If an example script needs you to run
one of those scripts, it will tell you what to do.