What You Will Need

Before we start there are several bit and bobs you will need to download and install on your machines. These are, in no particular order:

The JUCE Library: 

This is a load of code which will help a lot in your adventures in building plug-ins. Details of how to get this can be found here. For reasons of keeping up to date I would recommend you download the latest bleeding-edge version of the library. Once you have downloaded it you should have a folder called 'JUCE' which you can save where you please. I like to put it in '/home/JUCE' on my Linux machines and' C:\JUCE' on Windows (In my Mac naivety I have just left it on the Desktop, I'm sure any Mac users reading this will find a much tidier home for it).

The VST SDK:

 This is necessary in order to build VST plug-ins. It is available from the Steinberg website here. When you have downloaded this you should have a folder called 'VST3 SDK' which again you can save wherever you please.

All the Necessary Build Tools:

This will be different for each platform.

Windows:

On Windows the easiest thing to do is install Visual Studio Express. This should give you everything you need to get going. As will become apparent later, we can easily make Visual Studio projects, which use JUCE, for versions of Visual Studio from 2005 to 2012. I use the 2008 version because I am a bit stuck in my ways, if you have no such convictions just get the 2012 version. Depending on the version of Visual Studio you have and the version of Windows you have you may need to install the Windows SDK as well. 

If you are a bit of an open source warrior, you can build JUCE projects on Windows using Code::Blocks and MinGW. It's a bit more fiddly and sometimes just fails to work completely. I would also question why, if you are that dedicated to open source stuff, you are using Windows in the first place.

Mac:

For you Mac users out there you will need to install XCode. As I mentioned previously I have 

very little experience in developing on a Mac but from what I have read Apple keep deciding to 

change where things live and messing things up a bit. The last time I installed XCode I also 

had to install the Command Line Tools and the Core Audio SDK. Some good instructions on getting XCode set up properly can be found here.

Linux:

Depending on which distribution of Linux you are using you may or may not have all the necessary things installed. Here you can find a list of all the packages you will need to install if you are using Ubuntu. The one amendment I would make to that list would be to install the build-essential package rather than the g++ package. The g++ package will only install the GNU C++ compiler, whereas build-essential will install some other useful tools (such as Make, which we will need). 

For other distros (Fedora perhaps) I'm sure you can Google around to find the equivalents of these packages. If you are using some really obscure Linux distro I will assume that you are already a programming whiz and should be able to sort this out by yourself.

Some Kind of Plug-In Host:

Obviously you will need to be able to test you plug-in once you have built it. I'm sure if you are interested in building audio plug-ins you will already have a preferred plug-in host. One thing I will mention is VST Plugin Analyser, which is a very good application for Windows which allows you to test your plug-ins properly. Word has it, as well, that there may be a Mac version some time in the future.

Once you have all this you should be ready to continue.

Have a nice day now!
Sean