Egg Install Guide
I've found that the simplest way is by using Philip Eby's easy_install
1) download http://peak.telecommunity.com/dist/ez_install-0.3a3-py2.4-unix.sh
2) rename it easy_install and place it on your path
3) easy_install http://peak.telecommunity.com/dist/setuptools-0.3a3-py2.4.egg
That gets your setuptools and easy_install going
4) easy_install http://pyramid.pollenation.net/download/pysyck-0.45_pyx-py2.4-linux-i686.egg
and you should be done...
Further Eggs'perimentation
If you want to try installing everything from eggs, you'll have a few problems - I hope these can get sorted as they could make installing and dependencies etc,. a painless process I'm looking forward to when I can do 'easy_install pyramid' and all dependencies follow 
.. I think docutils should work but I've not built a roman egg for it yet. Twisted 2 and Zope Interfaces definitely don't work so you'll have to build those from source. Pyramid also doesn't work as it requires a script (which eggs will support soon I believe).
easy_install http://pyramid.pollenation.net/download/docutils-0.3.10-py2.4.egg (this needs the roman module which I haven't built an egg for or tested yet)
easy_install http://pyramid.pollenation.net/download/nevow-0.4.1-py2.4.egg
Pyramid installs but doesn't copy the scripts out... this could be fixed soon but for now install from source
easy_install http://pyramid.pollenation.net/download/pyramid-0.1-py2.4.egg
not sure about twisted yet from what I've seen twisted doesn't currently work (has a zope dependency and zope can't be built as an egg yet, twisted needs scripts also.)