I've noticed lack of detailed "how to set everything up" documentation myself however as with most SDKs I guess it assumes both working knowledge of your target OS and development language of your choice.

I've just went though this on Mac but I didn't expect Tableau documentation to explain how to compile .java files or how to run compilation results after.

What specifically are you having problems with?

Compiling .java files is not Tableau specific - if you have Java on your machine then all you have to do is to run javac to compile .java file:

javac -cp "../Java/*" com/tableausoftware/demos/MakeOrder.java

Then run it:

java -cp ".:../Java/*" com.tableausoftware.demos.MakeOrder

That's it.

Did you read this yet?

    http://tldp.org/HOWTO/Program-Library-HOWTO/shared-libraries.html

It's mentioned here.