Installing and configuring NX on Linux is easy.
Step1: download all the packages including nxclient, nxnode, nxserver from the server.
Step2: (I downloaded the tar file for installation) copy those tar.gz file to /usr directory. --> the /usr directory is a requirement for installation. Otherwise, you'll get errors such as "could not create configuration file".
Step3: execute installation scripts, as described in http://www.nomachine.com/download-package.php?Prod_Id=2522.
Step4: start the server by using "nxserver --start" command.
Use NX client is also easy. You just need to download and install the NXclient on your windows machine. With the SSH credential, you should be able to access the server which has just been configured.