The configurator doesn't work on your system because libwx_gtk2u_gl-2.8.so is not installed on your system.
There is no real need to use the configurator in linux in my opinion, just start megaglest it should work.
If you really need the configurator you have to install this lib. ( same problem exists for the editor )
update:
the package is called libwxgtk2.8-0 in ubuntu, but you'll need the 32bit libs, because you are on a 64bit system and the megaglest binaries are 32 bit