Short story (If you already have ruby and cmake):

./configure && make install

When things go wrong:

attain CMake (http://www.cmake.org) and ruby (http://ruby-lang.org) and
try again.

OR, attain CMake and build by hand:

1. mkdir build
2. cd build
3. cmake ..
4. make 
5. build output left in yajl-X.Y.Z

best,
lloyd