Installing ESX  can be done in a graphical mode or a text-based installation, which limits the intricacy of the screen configuration during the installation. The graphical mode is the more common of the two installation modes.

VMware has themselves written step by step procedure on installing ESX 4.0 , here is the link

http://www.vmware.com/pdf/vsphere4/r40/vsp_40_esx_vc_installation_guide.pdf

VMware has themselves written step by step procedure on installing ESX 4.1 , here is the link

http://www.vmware.com/pdf/vsphere4/r41/vsp_41_esx_vc_installation_guide.pdf

VMware ESXi 4.1 can be installed using Interactive mode or Scripted mode.

VMware has themselves written step by step procedure on installing ESXi 4.0 , here is the link

http://www.vmware.com/pdf/vsphere4/r40/vsp_40_esxi_i_vc_setup_guide.pdf

VMware has themselves written step by step procedure on installing ESXi 4.1 , here is the link