Grab the source from SourceForge: http://sourceforge.net/projects/fis-gtm/files/ (I use amd64-Linux).
Unpack the source, assuming you put it in ~/Downloads:
$ mkdir tmp $ cd tmp $ tar xvfz ~/Downloads/gtm_V54002B_linux_x8664_pro.tar.gz
$ sudo apt-get install libicu48 libicu-dev
Read the instructions: http://tinco.pair.com/bhaskar/gtm/doc/books/ao/UNIX_manual/index.html
Run the ./configure script:
$ sudo ./configure
Edit .profile to set up default GT.M environment:
$ ./gtmbase Updating your login files to support GT.M. You must log out and log back in for these changes to take effect. $ tail -n 1 ~/.profile . /home/nlc/gtm/gtmprofile
As you can see, this will run the gtmprofile script every time you log in.
Run GT.M by running the gtm script in the directory you installed GT.M to.
Note: this is the bare minimum to get you up and running. You will probably want to do additional things like, e.g., add the GT.M directory to the PATH environment variable, redirect GT.M logging to /var/log, etc.