The tarball comes with a pre-compiled Jar of ECJ, in the "jar" directory. So compiling it fresh is optional.
I'm not near a Windows machine, but ecj.sh and ecj.command both work fine on my MacBook. On Mac/Linux, you'll need to set the +x flag
first on the permissions for the file.
The ECJ gui is quite limited, though. ECJ is primarily a Java library and a command-line tool. The tutorials in src/docs/tutorials assume that you already have your Java development environment set up so you can write your custom objective function in Java, and that you know how to use Java libraries and launch Java programs from the command line.
I'd recommend installing Netbeans and going through Tutorial 1.