If you have Linux you need new NVIDIA drivers, CUDA Toolkit and sometimes GPU Computing SDK is helpfully. When you install in default location, you must add this location to PATH. I added it into .bashrc in ~ (home folder):
If you are using Widnows you must have installed VS2008, new drivers, GPU sdk, CUDA toolkit, and helpfully is CUDA_VS_Wizard v2.0.
First you must install VS2008, next GPU SDK, next CUDA TOOLKIT and last CUDA_VS_WIZARD V2.0.
You must add into windows environments this lines (I'm using windows xp):
CUDA_BIN_PATH -> C:\cuda\bin
CUDA_INC_PATH -> C:\CUDA\include
CUDA_LIB_PATH -> C:\CUDA\lib
NVSDKCOMPUTE_ROOT -> C:\Documents and Settings\All Users\Aplication Data\NVIDIA Corporation\NVIDIA GPU Computing SDK
NVSDKCUDA_ROOT-> C:\Documents and Settings\All Users\Aplication Data\NVIDIA Corporation\NVIDIA GPU Computing SDK\C
Path -> %SystemRoot%\system32;%SystemRoot%;%SystemRoot%\System32\Wbem;C:\CUDA\bin
After reboot you should try it. In VS2008 create new CUDA project and compile it. If it pass it will be work.