In Ubuntu or Debian you need to install the following packages:
sudo apt-get install texlive
sudo apt-get install texlive-latex-extra
sudo apt-get install latex-xcolor
sudo apt-get install texlive-fonts-extra  
easy_install sphinx   (works on ubuntu for instance using sudo synaptic and installing sphinx <not the speech recognition software>)

In other Linux distros you will also need to install LiveTeX and,
optionally, the Sphinx tool (http://sphinx.pocoo.org/)

To build the latex files, just issue the command:
sh go

In MacOSX you can use MacTex (https://www.tug.org/mactex/).

In Windows you can use MiKTeX
