Here are the steps I took to create an environment for doing Bayesian Inference.

1. Download and install R
   Find a mirror near you, download the executable, then run the install.
2. Get familiar with the R environment
   Read the manual.
3. Download and install OpenBUGS
   Go to OpenBUGS, pick an OS, download, and install.
4. Go back to R and install the coda package (you will need this for BRugs)
   Open the R console and type install.packages(‘coda’).
   Choose a mirror, then finish install.
   Type library() at the console to verify coda is in the list of installed packages.
5. Go back to R and install the BRugs package (you will need this to reference OpenBUGS from R)
   Open the R console and type install.packages(‘BRugs’).
   Type library(BRugs) at the console to open BRugs.