Step-by-step instructions for setting up the Arduino software and drivers can be found here: http://arduino.cc/en/Guide/HomePage
The software is available for download here: http://arduino.cc/en/Main/Software
All official Arduino Nanos, and many Arduino Nano clones use the standard FTDI Chip drivers which you can download from: http://www.ftdichip.com/Drivers/VCP.htm
Some Arduino clones use a CH340/CH341 USB to serial communication chip and the standard drivers won't work. To program it, you must download and install drivers from the website of a Chinese tech company.
To tell which type of driver your Arduino uses, flip it over and look at the chip on the back. It will either say FTDI or CH340 (along with some other letters and numbers).
I highly recommend spending the extra money purchasing Arduino Nano clones with the FTDI chips.
Windows 8 Quirk: Windows 8 will not let you install unsigned drivers. To get around this, go to: http://www.makeuseof.com/tag/how-can-i-install-hardware-with-unsigned-drivers-in-windows-8/
Mac Quirk: Since OS X 10.8, Apple built their own FTDI driver into their system. Unfortunately, it doesn't work and it conflicts with the driver from ftdichip. For instructions on how to uninstall Apple's driver and install the FTDI driver, go to: http://www.mommosoft.com/blog/2014/10/24/ftdi-chip-and-os-x-10-10/