I too am getting into open CV.
OpenCV is not exactly like a one-package executable file, like roborealm. To learn more about it, check out the OpenCV wiki here: http://opencv.willowgarage.com/wiki/
This is where I'm learning everything about OpenCV. It tells you how to install it, what you'll need to use it, and how you can learn to use it.
You'll need a C++ compiler to program in openCV. You can analyze how some of OpenCV applications (like face recognition) are programmed by loading the samples into the compiler you use, so you can see the coding.
Study the wiki diligently, and if you still need help you'll also find on the wiki (in the Frequently asked Questions section) that OpenCV has a forum specifically for the OpenCV software.