You can install gfceu with setup.py:

$ sudo ./setup.py install

Requirements:
Python (tested with 2.5) (Ubuntu package name:  python)
PyGTK, GTK, and PyGlade (tested with 2.8) (Ubuntu package name: (python-gtk2 libgtk2.0-0 python-glade)
FCE Ultra 1.x (Ubuntu package name: fceu)

Optional:
GnomeVFS 2 (tested with 2.14.1) (Ubuntu package name libgnomevfs2-0 python-gtk2)
alsa-oss (tested with 1.0.11)