See the readme for installing Pd.
GEM should be at
chdir to <gem>/src/Gnu and build Gem following the instructions in the README.build (./configure; make)
If you then make install, then all of the example files and documention should be put in the correct locations.
if you are using debian, Gem should be available via apt
if you are using an rpm-based distribution, check out the builds at planetCCRMA