This is a library of statistical functions in C, plus some command-line utilities that make use of those functions. Detailed setup instructions can be found at http://apophenia.sourceforge.net/doc/setup.html . [Not online? You can see the source for that page in documentation.h in this directory.]
More generally, the user manual is in the form of a textbook on statistical computing at http://apophenia.info/gsl_stats.pdf and the command-by-command reference is at http://apophenia.info/doc
The executive summary:
--You need the usual C compiler and the supporting environment that a
sane programmer requires.
--You need the GNU Scientific Library and SQLite. If you are using a
system with a package manager of some sort, there is certainly a package
for both of these.
--One you have it in place,
tar xzf apophenia-X.XX.tar.gz
cd apophenia-X.XX
./configure; make; sudo make install
should compile for you (where X.XX indicates the version number.)