To get started with CMSSW in the context of the CMS open data, follow the instructions in Getting started with CMS 2011 data
You can learn more about CMSSW in The CMS Offline WorkBook. If you follow the instructions in the Workbook make sure, though, that you replace the release version (CMSSW_nnn) with the release that
you are using, i.e. one that is compatible with the CMS open data. Be aware that the instructions in the WorkBook
are in use in CMS currently and have been updated for more recent CMSSW releases. With the 2011 data, you should
always use the releases in the series of CMSSW_5_3 and not higher. Also note that more recent code does not work with
older releases, so whenever you see git cms-addpkg in the instruction, it is likely that the code package this command
adds does not work with the release you need.