GEM is not an executable. It requires Pd to work and is loaded in at run time. For example, I have an alias on the SGI which does
/usr/people/mdanks/pd/bin/pd -lib /usr/people/mdanks/pd/gem/Gem
and on WinNT
\pdDir\pd\bin\pd -lib /pdDir/pd/gem/Gem
on UNIX-systems you will probably want to use a .pdrc file, where you can put the command-line arguments for pd that you "always" need.
If you don't see a startup message from GEM, then something went wrong.
Most people use use the command shell to start Pd. It is not very difficult to configure Pd to run from double-clicking on the icon.