Bayesian phylogentic programs like MrBayes and BEAST work better when the BEAGLE library is installed. BEAGLE provides these programs with an MCMC sampler using CPU-based or GPU-based computation. Therefore, before compiling or using MrBayes and BEAST, BEAGLE and other prerequisites must be set-up and installed first. Unfortunately, setting-up all these software and libraries can become pretty frustrating very quickly.
Here I show how to properly set-up these programs to keep your frustration to a minimum. Broadly speaking, these instructions are applicable for Windows, Mac, and Linux. However, because I am specifically recounting my own experiencing setting-up my Linux machine, the more detailed parts of this guide focuses on installing on Linux.