Nessus will run on almost any POSIX-compliant UNIX system, including Linux, Solaris, and HP-UX. Although a client-only version of Nessus is available for Windows, you'll need some sort of *nix machine to run the nessusd daemon.
For users in a Windows-only environment, Knoppix STD offers an excellent solution. Knoppix STD is a preconfigured Linux installation that boots from CD, runs entirely in RAM, and comes with Nessus (and a host of other handy applications) preinstalled. If you have a spare Intel-based system and little or no Linux/UNIX expertise, this may be the easiest way to get Nessus up and running.
Before installing Nessus, you'll need to install the following: