Compiling Openresty with ngx_cache_purge for Nginx on Ubuntu

I wanted to add some extra modules to my Nginx server. When using Nginx cache with WordPress, it get quite boring to login on your server and manually delete cache after updating a post or blog entry. So the Nginx cache would come in handy.
I have before compiled Nginx on Centos, but I’m using Ubuntu at home, so I had to remake the installation manual for my own servers. And here is the walk-through I used to compile Openresty with ngx_cache_purge.