Until v0.7.0 Auryn comes shipped with a Makefile which will work on most Debian based distributions. However, you might have to modify the file to your needs to compile Auryn.
If you are using a a Debian based distribution like Ubuntu or Mint (if you don't, have a look at the cmake or autools version below) and you have installed all the required libraries before, go to the directory auryn/build/home and simply run
make
This will compile the relevant object files and – given that all required libraries are in place – create several executables, which are simulation examples that come with Auryn. The Makefile should work out of the box for most standard installs of Ubuntu, Mint or Debian (tested Mint 15 and Ubuntu 12.04).