Here's a list of things to check before you get started.
Disk space needed: About 30MB (five hamburgers' worth) of disk space for the most basic binary distribution of GHC; more for some platforms, e.g., Alphas. An extra ``bundle'' (e.g., concurrent Haskell libraries) might take you to 8–10 hamburgers. You'll need over 100MB (say, 20 hamburgers' worth) if you need to build the basic stuff from scratch. All of the above are estimates of disk-space needs. (I don't yet know the disk requirements for the non-GHC tools).
Use an appropriate machine, compilers, and things. SPARC boxes, and PCs running Linux, FreeBSD, NetBSD, or Solaris are all fully supported. Win32 and HP boxes are in pretty good shape. DEC Alphas running OSF/1, Linux or some BSD variant, MIPS and AIX boxes will need some minimal porting effort before they work (as of 4.06). Section 3 gives the full run-down on ports or lack thereof.
Be sure that the ``pre-supposed'' utilities are installed. Section 4 elaborates.
If you have any problem when building or installing the Glasgow tools, please check the ``known pitfalls'' (Section 8). Also check the FAQ for the version you're building, which should be available from the relevant download page on the GHC web site. If you feel there is still some shortcoming in our procedure or instructions, please report it. For GHC, please see the bug-reporting section of the GHC Users' Guide (separate document), to maximise the usefulness of your report. If in doubt, please send a message to <glasgow-haskell-bugs@haskell.org>.