I- Running ShouldntExist on MacOSX
Some steps of this walkthrough will use Apple's development tool "Xcode" (don't worry, it will be all automatic and the only thing you'll have to do is to sit and drink a good cup of coffee). It comes free with your Mac, on MacOSX's installation DVD. If you didn't install it, you can download it by visiting Apple Developer (or just go find where your Installation DVD is

[1] Recover the bash file
AFAIK, the most recent version is to be found on this page
Just click the "download" button on the page. The file you'll get won't be usable yet, because it will have windows-terminated end of lines char that will just generate errors under Unix systems. So open the file with a good text editor (like BBEdit or Editra), do a cmd-A to select all the text and a cmd-c to copy it all. Now close your editor and open Apple's simple "textedit" tool. Press cmd-v to paste the script in the newly created document, and save it with a ".sh" extension. (for the rest of this tutorial, and for readability, we'll consider you saved the engine under the name "se.sh").
[2] Make the bash file executable
Open the Terminal and navigate to your se.sh file. Then enter the following command:
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chmod +x se.sh
To run an executable file under OSX (and any Unix system), you have to prefix it with "./". So now, enter this command :
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./se.sh
[3] Update bash
So we have to update the default bash. To do that, we will use MacPorts. Go download it by clicking this link, and install it.
Then enter the following command into the Terminal to get sure you have the latest version of MacPorts :
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sudo port selfupdate
Now click on "all ports" on the left, only once: it's just to get it selected. Then enter "bash" in the top-right corner search box. Click once on "bash" in the results list, to select it, and then click the "install" button on top left iconbar. Don't select "universal" when asked for it, except if your Mac uses a PowerPC CPU.
That's it, now Porticus will go retrieve all the needed files, sources and dependencies for you and compile and install them in your Mac where needed. As it took about 10mn of verbosing and scratching on my Core i5 iMac I guess you'll have time to go get a good cup of coffee now.
[4] Make it the default shell
Now run the Terminal again, and go into "Terminal->Settings". Select the first Pannel, called "start" and, into the "Open shells with" select "command (full path)" (or whatever stands in your language, I did a raw translation of my french OSX).
You can then let it use the default path "/bin/bash", as MacPorts adds all its installed program to this path (actually they sit in opt/local/bin, but this path is added to the system's one).
Now close these preferences and type the following command in the terminal:
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sudo mv bash bash-3.2.48
(It will archive your default bash binary, in case you want to reverse back to it one day...).
That's it, we're done with the tricky parts! Now exit the Terminal (using the menu : Terminal->Quit Terminal, or you'll just close the program's window without leaving), and restart it.
If you run se.sh's script again, this time you should be able to play without trouble.
[5] Making it a bit more comfy
Typing UCI commands in a shell is not the most user friendly experience one can imagine (except of course if you're a Linux addict, but then "user experience" has a different meaning to you). The good news is that, for the system, this script is now considered to be a normal executable. So just go run your favorite UCI-Compatible interface and add this new "engine" into it. As for me, it runs flawlessly using Sigma Chess, while Jose reports a problem when SE wants to play its move... Have fun!

II- Running ShouldntExist on Windows
When attempting to run SE on Windows, we tried different bash interpreters with no success. The most well known, win-bash, is based on a much too old version of bash (1.14) and will definitely NOT run with SE. Another interpreter, Zsh is more up to date but doesn't seem to be bash-complient.
So we went for the mammoth: Cygwin. Cygwin is a kind of unix/Linux compatibility layer for Windows (for instance, using cygwin.dll, you can compile your posix programs for Windows without modifying them). It will install all the needed tools for you. Just go download it at this address, and install it. Please note that you shouldn't have any space into your windows logon in order to run cygwin without problems. If you do, go read this section of the online doc for solutions.
When you're done installing Cygwin, you can try it by navigating to the place you saved the SE.sh script (see point [1] in the Mac section above), using "cd .." to go down in the tree, "cd drawer" to go up, and "dir /" to list the files in the current drawer. Once you're in SE's drawer, just type the following command to run it:
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./SE.sh
Now, just like in our Mac's fifth point above, you'll probably want to run it as an engine inside a GUI. To do that, create a SE.bat file with the following command inside :
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c:\cygwin\bin\bash.exe -l C:\path\to\SE.sh