I'm on lucid and all is fine here. Have you set the permissions properly? Using Nautilus, go to where your Powder executionable is, right click it, select properties, select permissions and check "allow to run as an executionable"
run it from a terminal and let me know what the output is (Applications > Accessories > Terminal; if its in your home directory run ./powder-sse3 [or whatever the filename is])
run it from a terminal and let me know what the output is (Applications > Accessories > Terminal; if its in your home directory run ./powder-sse3 [or whatever the filename is])