Building on Windows

Steps:

runprebuild.bat
Load OpenSim.sln into Visual Studio .NET and build the solution.
chdir bin
copy OpenSim.ini.example to OpenSim.ini and other appropriate files in bin/config-include
run OpenSim.exe

Building on Linux

Prereqs:

Mono >= 2.4.3
Nant >= 0.85
On some Linux distributions you may need to install additional packages. See http://opensimulator.org/wiki/Dependencies for more information.
May also use xbuild (included in mono distributions)
May use Monodevelop, a cross-platform IDE

From the distribution type:

./runprebuild.sh
nant (or xbuild)
cd bin
copy OpenSim.ini.example to OpenSim.ini and other appropriate files in bin/config-include
run mono OpenSim.exe

Using Monodevelop

From the distribution type:

./runprebuild.sh
type monodevelop OpenSim.sln

References

Helpful resources:

http://opensimulator.org/wiki/Build_Instructions