On CentOS, php-fpm can be easily installed via CentALT yum repository. This requires epel repository too and will pull down any dependencies if needed.
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Install EPEL release:
rpm -Uvh http://download.fedora.redhat.com/pub/epel/5/x86_64/epel-release-5-3.noarch.rpm
rpm -Uvh http://centos.alt.ru/repository/centos/5/x86_64/centalt-release-5-3.noarch.rpm
yum --enablerepo=CentALT --enablerepo=epel install php-fpm
The default settings should work quite well.
Bring up the service via:
/etc/init.d/php-fpm start
Install PHP from source
I prefer installation from source ... check my way Install PHP 5.3.10 with PHP-FPM on CentOS 6.2