Setting up mono and compiler - what I did. 

1.   I went to http://www.mono-project.com and found the download page.
     I clicked "Older releases" and selected the top one (Version 1.2.2, newest stable).
     That produced this file here "mono-1.2.2_1-installer.bin"
     You can try looking for the newest one or just use this version. 
     It works on Knoppix 5,1 hdinstall setup on a PIII with 384 RAM.

2.     $ chmod +x mono-1.2.2_1-installer.bin
3.     $ ./mono-1.2.2_1-installer.bin
4.   Add /opt/mono-1.2.2/bin to your PATH or whatever directory you installed to.
       $ export PATH=/opt/mono-1.2.2/bin:$PATH # works for me in bash.

5.   To check the version of mono use:
       $ mono -V
       Mono JIT compiler version 1.2.2, (C) 2002-2006 Novell, Inc and Contributors. www.mono-project.com
               TLS:           normal
               GC:            Included Boehm (with typed GC)
               SIGSEGV:       normal
               Disabled:      none

6.   To test the compiler copy this "Welcome.cs" to your working directory.
     Compile the C# program:
       $ mcs Welcome.cs
7.   If no erros then run the program:
       $ mono Welcome.exe
       Welcome to C#: Now you're playing with Power!