Just unpack the .tar.xz file, and run ./clear_db_and_start.sh. You can also ./compile.sh if you want to make modifications to the code.
The genesis block distributes reward to two accounts: "aaa" and "aab" However, in the default database I've transferred all the founds from "aab" to "aaa". To make a testnet with many peers, simply add peers into conf/nxt-default.properties to section "nxt.wellKnownPeers".
It's impossible to run many NXT clients on once computer, but you can easily get around this by running NXT in lxc.
Unfortunately, due to a bug in GUI, you need to start forging by running an API command: http://localhost:7876/nxt?requestType=getForging&secretPhrase=aaa
See http://nxtstorm.org/index.php/How_to_create_your_own_testnet-in-a-box if you want to create your own genesis block.