I installed the packages zlib1g-dbg and libssl-dev, and then ran "make dist" in the src directory. A lot of errors in minizip popped up, but a (Linux) executable file appeared. I tried to run it with "sudo luna file.lua output.tns" but the terminal replied back "command not found." What am I doing wrong? I'm using Ubuntu 11.04 32-bit.

You don't need to use sudo, and you probably want to use "./luna" instead of "luna", if you're launching from the directory where you compiled Luna.

Venom: make dist does not install Luna, in the sense that it won't copy luna to a directory in PATH, so uninstalling and reinstalling Luna wouldn't change anything

When launching a program in a terminal, if it's not in the PATH environment variable, you need to give the full path to the program, e.g. /home/user/luna/luna. But if you're launching "luna" from the /home/user/luna folder, you still need to use "./luna" to indicate the path of the program (since, again, /home/user/luna is not in the PATH).
On Windows, the current folder is automatically prepended to the PATH. Which is slightly more convenient, but is strongly frowned upon from a security POV, since executables in the local folder could shadow other executables from the path.

When I run TILP though, not including the "./" in front is okay. Why is this? And just to be clear, are all Linux programs supposed to be run with a "./" in the front?

When I run TILP though, not including the "./" in front is okay. Why is this?

Because TILP is being installed to a folder that is listed in the PATH environment variable

And just to be clear, are all Linux programs supposed to be run with a "./" in the front?

No
Either they are installed in a folder that is listed in the PATH environment variable, in which case you don't need to use "./" or "/home/<...>" or "../<...>", which are ways to tell the command interpreter where to find the program, or they aren't, and then you have to tell the command interpreter where to find the program.
The general principle is the same on Windows, except that on Windows, PATH automatically contains ".".

What on Earth was TI thinking, making their own closed source encryption scheme?  As far as stupid decisions go, that's a pretty big one.  Anyone who knows anything about encryption knows that you use a publicly available algorithm, or make your algorithm public.

SirCmpwn: the encryption itself is indeed standard; but the obfuscation (a more generic term that more accurately describes what TI is doing, it's not just encryption + compression) contains a proprietary, and patented part.