Basically it just involves compiling the code and starting the daemon. The instruction tell you everything you need to know.
It is obviously easier on a dedicated server as you have more control but there should be no problem running the daemon on a vhost - you will just have to make sure it is started everytime your host restarts their server - (they may not appreciate a daemon running without permission though).
Paul Wilson.
http://www.wiredon.net/gt/
http://www.perlmad.com/