CyanogenMod is a free, community built, aftermarket firmware distribution of Android which is designed to increase security, performance, reliability and customization over stock Android.
About nightly builds
Nightly builds are automatically compiled builds of the latest CyanogenMod source from github. These builds are not officially supported. If you find bugs or issues please discuss here. Do not submit bug reports for nightly builds on the CyanogenMod issue tracker.
How to install
Ensure you have a working copy of ADB for your PC. A simple search should find versions for all major operating systems.
If you are running "stock" (ColorOS), the first thing you will need is a recovery. There are many recoveries available. The most popular ones are CWM and TWRP. Please consult other threads to find and install a suitable recovery.
Once you have a suitable recovery, download from download.cyanogenmod.org to your PC.
If you wish to have Google applications available such as the Play Store, download a current copy of gapps. CM recommended gapps are shown at wiki.cyanogenmod.org.
Reboot your phone into recovery.
If you wish to save any of your current data, back it up. Details vary by recovery. The app "Titanium Backup" is also popular to backup and restore your installed apps.
Wipe your internal data. Again, details vary by recovery. The option is usually called "wipe data / factory reset" or something similar. This is absolutely critical and required if you are coming from a stock ROM or a different third party ROM. Note! If you are coming from a previous nightly build of CM11, you can often get away with keeping your data. But if you encounter any issues, please wipe data and retry.
Find an option in your recovery that looks like "Install from sideload" or Install from ADB" and select it. On your PC, run "adb sideload cm-11-yyyymmdd-NIGHTLY-find7.zip". ADB should show a progress indicator. When the file has completed uploading, it should install. Repeat with your gapps package if desired.
Reboot your phone. The first boot after install can take a few minutes (usually no more than 5 minutes) so be patient.