If you have obtained an EventMachine source-tarball (.tar.gz):
unzip and untar the tarball, and enter the directory that is
created. In that directory, say:
ruby setup.rb
(You may need to be root to execute this command.)

To create documentation for EventMachine, simply type:
rake rdoc
in the distro directory. Rdocs will be created in subdirectory rdoc.

If you have obtained a gem version of EventMachine, install it in the
usual way (gem install eventmachine). You may need superuser privileges
to execute this command.