SGE is a scheduling/job submission system for computing clusters. You don't need it to run locally, though your machine better be a beast, as STAR uses a lot of RAM and is slow without several processors (as is every aligner). If you have only a few samples, you can probably get away with it, but if you have dozens, you're going to be waiting a while. I'd see if your organization has a computing cluster that you can get access to.
As for R, python, java, and samtools, they are all easy to install and add to your PATH. You can google how to do it depending on your system, and many distros can install them through package managers. Or you can look into Anaconda, which makes install all of those and automatically adding them to PATH very easy regardless of your OS. sratoolkit is also simple to install.
The links are symlinks, basically saying where your folders containing your ChIP-seq and RNA-seq data should be relative to that folder. In this case, it looks like you should have folders for them a level up from the installation directory. You can also just replace the link so that it points to wherever your data files are for each.
Installing something like this is a headache even for experienced bioinformaticists - relative lack of documentation, heavy reliance on relative paths, etc. I imagine it is one of those things that will result in a million errors with uninformative tracebacks that you'll spend days fixing before getting it to run in full. If you don't know how to install/add basic programs to your PATH, I would take a few days to learn how to do that and utilize the command line properly. Otherwise, you will likely continue to be frustrated.