NX Assemblies... (note I am using NX5, so instructions may not be 100% accurate)
A. Turn on assembly functionality in modeling. It can be found on the Start button.
B. Turn on the assembly toolbar if it does not default on. Tools -> Customize (mine is shown at the bottom of the screen) Alternatively you can use the functions under the Assembly option in the menu bar.
C. Add components - Assemblies -> Components -> Add Components
F1 should get you detailed context relevant help if you need it.
D. Constrain components - Assemblies -> Components -> Mate Component
F1 should get you detail context relevant help here too.
That should be enough to get you started. If you need more guidance feel free to post, PM or e-mail me.