The Android NDK is a companion tool to the Android SDK that lets you build performance-critical portions of your apps in native code. If you write native code, your applications are still packaged into an .apk file and they still run inside of a virtual machine on the device. The fundamental Android application model does not change. First thing to do: Go to http://developer.android.com/sdk/ndk/index.html and download Android NDK.
Okay, now you unzip the downloaded NDK zip to your hard disk drive.
If you are a windows user, you also have to have Cygwin, go to http://www.cygwin.com/ and download the latest version.
Install it, and run it, you should see a "linux-like" console.