I assume you already had a lamp environment

first step,we must to install memched in our Ubuntu System,
open the url( https://memcached.org/downloads ) go to the Installation section ,you will see like this :

Debian/Ubuntu: apt-get install libevent-dev Redhat/Centos: yum install libevent-devel

wget http://www.memcached.org/files/memcached-1.4.25.tar.gz
tar -zxvf memcached-1.4.25.tar.gz
cd memcached-1.4.25
./configure && make && sudo make install

just follow it to do

to here ,if no some error occured ,you system already installed memcached service ;

run memcached as daemaon service:
memcached -d -u root

And then ,

In most cases,your php don't open the memcached extension,so we need to solve it ,
you can compile php with enable-memcache,i think its a bad way ,so,I will use phpize to do it ,if you want to learn more about phpize ,to my another blog ( http://www.cnblogs.com/codeAB/p/5560371.html )

go to the Url( http://pecl.php.net ) and search "memcache" you will look two simlilar package:

memcache     memcached extension
memcached     PHP extension for interfacing with memcached via libmemcached library

If you look the php document, you alse see two extension memcache and memcached ,the two extension is more simlilar to use , But memcached is update soon means it will provide more new feature , I suggest to the memcached ,

download memcached from ( http://pecl.php.net/get/memcached-2.1.0.tgz ; tips:don't download latest version 2.2,it not success in my ubuntu 14, you should try it )

1. tar -xzvf memcached-2.1.0.tgz
2. cd memcached-2.1.0/
3. phpize

(     if occured: No command 'phpize' found, did you mean:
    Command 'phpize5' from package 'php5-dev' (main)
    Fixed: sudo apt-get install php5-dev
)
4.  ./configure --enable-memcached

(    if occured: configure: error: memcached support requires libmemcached
    Fixed:
    wget https://launchpad.net/libmemcached/1.0/1.0.16/+download/libmemcached-1.0.16.tar.gz  ( tips:don't get lastest version of 1.0.18,it unusefull for me )
    ./configure && make && sudo make install
)
5. make
6. sudo make install  
7. sudo vim /etc/php5/apache2/php.ini
add one line in the end:  extension=memcached.so

Now,sudo service apache2 restart

use phpinfo() to see whether the memcached extension is appear.