You can use
Konstruct to download all the sources and compile it. I don't know how to use it exactly: I never used it.
You can also compile it file for file. You then unpack the source, execute
./configure with the arguments you need (such as
--prefix=/place/to/install). If you need a package, configure will tell you. After that, you can run
make and
su -c "make install" to install it. You then have to do that for all modules, beginning with arts and kdelibs (the rest of the sequence doesn't matter).
I think that in most cases "Konstruct" is easier.