You can install gfceu with setup.py:

$ sudo ./setup.py install --prefix=/usr/local

You can change the prefix to whatever you like.

Requirements:
Python (tested with 2.5); (Ubuntu package name:  python)
PyGTK, and GTK;  (Ubuntu package name: (python-gtk2 libgtk2.0-0)
FCE UltraX - You're going to need the latest fceux for gfceu .7 to work