There are many tutorials how to setup memcache, but many are also old and have things you don't really need.
You can find here updated tutorial for that
http://www.howtoforge.com/installing-memcached-and-the-php5-memcache-mo…
But basicly all you need to do on the latest linux and memcache version is install it, like
apt-get install memcached php5-memcacheand that is it. Install drupal memcache module and follow it's configuration, add what's necessary to settings.php and you should be running it like boss.