どこで何をしたかについては、git cloneでダウンロードしてきたと思われる、
train_mnistというファイルを実行しました。
python ./chainer/examples/mnist/train_mnist.py

ubuntu@ubuntu-virtual-machine:~$ python ./chainer/examples/mnist/train_mnist.py
GPU: -1
# unit: 1000
# Minibatch-size: 100
# epoch: 20

Downloading from http://yann.lecun.com/exdb/mnist/train-images-idx3-ubyte.gz...
Downloading from http://yann.lecun.com/exdb/mnist/train-labels-idx1-ubyte.gz...
Traceback (most recent call last):
  File "./chainer/examples/mnist/train_mnist.py", line 124, in <module>
    main()
  File "./chainer/examples/mnist/train_mnist.py", line 69, in main
    train, test = chainer.datasets.get_mnist()
  File "/usr/local/lib/python2.7/dist-packages/chainer/datasets/mnist.py", line 47, in get_mnist
    train_raw = _retrieve_mnist_training()
  File "/usr/local/lib/python2.7/dist-packages/chainer/datasets/mnist.py", line 77, in _retrieve_mnist_training
    return _retrieve_mnist('train.npz', urls)
  File "/usr/local/lib/python2.7/dist-packages/chainer/datasets/mnist.py", line 90, in _retrieve_mnist
    path, lambda path: _make_npz(path, urls), numpy.load)
  File "/usr/local/lib/python2.7/dist-packages/chainer/dataset/download.py", line 151, in cache_or_load_file
    content = creator(temp_path)
  File "/usr/local/lib/python2.7/dist-packages/chainer/datasets/mnist.py", line 90, in <lambda>
    path, lambda path: _make_npz(path, urls), numpy.load)
  File "/usr/local/lib/python2.7/dist-packages/chainer/datasets/mnist.py", line 99, in _make_npz
    fx.read(4)
  File "/usr/lib/python2.7/gzip.py", line 268, in read
    self._read(readsize)
  File "/usr/lib/python2.7/gzip.py", line 303, in _read
    self._read_gzip_header()
  File "/usr/lib/python2.7/gzip.py", line 197, in _read_gzip_header
    raise IOError, 'Not a gzipped file'
IOError: Not a gzipped file

が実行結果になります
cvl-robot.hateblo/entry/2015/06/11/223928
を参考にしていましたが、
私のPCにはGPUが入っていないため、CUDA,PYCUDAのインストールはしていません。