In order to run the cutechess and cutechess-cli executables with dynamically linked libcutechess the program loader must find the library. On Windows it's enough to copy the libraries (DLL files) to the same directory as the Cute Chess executables. On Linux and OS X the path to libcutechess should be set via an environment variable. On Linux the command to run is:

$ export LD_LIBRARY_PATH=path_to_libcutechess

And on OS X:

$ export DYLD_LIBRARY_PATH=path_to_libcutechess