To compile the gmm executable you will need gsl (http://www.gnu.org/software/gsl/) and specifically to link to :
libgsl
libgslcblas
libgsleigen
libgslmatrix

I used the universal 1.14 version of gsl for Mac.

I also used the gmm-gmr project code: 
http://sourceforge.net/projects/gmm-gmr/

All under GNU GPL

 