For people using Ubuntu, Debian, Linux Mint, simply go to the synaptic package manager and install armadillo from there. You may have to install Lapack as well. For Mac and Windows users, follow the instructions from the webpage http://arma.sourceforge.net. To compile, use for example (linux/ubuntu)
c++ -O2 -o program.x program.cpp -larmadillo -llapack -lblas
where the -l option indicates the library you wish to link to.
For OS X users you may have to declare the paths to the include files and the libraries as
c++ -O2 -o program.x program.cpp -L/usr/local/lib -I/usr/local/include -larmadillo -llapack -lblas