You are lost again.
Yes, sorry for not being clear, but I posted the link so you see only what components you have to install to your system to run the game.
You are back now were you started. First you have to go into the directory of the game. The 'cd' command does that [so you type 'cd ufoai'] Then you type the run command with for every program looks different, in our case it is 'ufo'. The './' means that you want to run the script from the current directory. You can check if the directory that you are in right now [the current directory] has the file you want to run by using the 'ls' command. You could also run the game probably by using the './ufoai/ufo' command just after starting your console.
Your problem now is that you do not have all the system [non game] components installed. Think of it like that: under windows it would throw you an error that you do not have drivers to your graphics card installed or something equal.
The link in the wiki says what packages you need to install to compile and also to run the game. How you do it is beyond me as I use openSuse and have no experience with Debian/Ubuntu. I only know that in your system is also easy to install new features and someone here can help you if they stumble on this thread. The wiki actually gives you the exact command that you have to run to install all necessarily components. [ 'Prerequisites' part]