From the Rockbox install page:

Rockbox installation consists of two parts - installing the Rockbox bootloader to your ipod, and installing Rockbox itself. The Rockbox bootloader is installed by running the ipodpatcher tool, and just needs to be done once. After you've done this, you can still use the Apple firmware by turning on the hold switch when powering on your Nano.

Rockbox itself is installed by downloading http://build.rockbox.org/data/rockbox-ipodnano2g.zip and extracting the contents to the root (i.e. top-level) of your ipod. This URL always points to the most recent "current build" of Rockbox, updated automatically a few minutes after every change to the Rockbox source code.

The Rockbox manual has full installation instructions - see the "manual installation" part of the Installation chapter (the "automatic installation" - using Rockbox Utility - does not yet work for the 2nd generation Nano).

The current release of Rockbox's graphical installer, RockboxUtility, does not support the 2nd Generation Nano, but support has been added to SVN and you can use RockboxUtility if you compile it yourself from the latest source code.

Unfortunately, it seems that the build is not stable for iPod nano 2G:

The following is a list of known bugs in the Nano 2G port:

• The Rockbox Info screen shows the wrong disk size (due to the 2048-byte sectors). Fixed in r23596.
• After an unclean shutdown (menu+select reset or a crash), it may sometimes lose all contents on the data flash.