The SMP module requires gcc 4.7 or higher. This is due to the fact that it uses the new C++ standard.
At the moment, the SMP module does not work on Windows or Mac OS X since MinGW does not provide support for std::thread and Apple does not supply a recent version of gcc (but you can try to compile gcc 4.7 by yourself or to install a package management system like MacPorts).
To enable the compilation of the SMP module, just add -DSMP=true to CMake :
> cmake .. -DSMP=true
Depending on your distribution, you might have to give to CMake the path of gcc and g++ 4.7. This is the case for Ubuntu 12.04 LTS for instance. See next section to know how to install gcc and g++ 4.7 on Ubuntu 12.04 LTS.
If you are in that case and assuming you have a standard path for gcc et g++ 4.7 :
> cmake .. -DSMP=true -DCMAKE_C_COMPILER=/usr/bin/gcc-4.7 -DCMAKE_CXX_COMPILER=/usr/bin/g++-4.7
Ubuntu 12.04 LTS & gcc 4.7
Type the following commands to install gcc and g++ 4.7 on a Ubuntu 12.04 LTS, which are not currently in official repositories :
> sudo add-apt-repository ppa:ubuntu-toolchain-r/test
> sudo apt-get update
> sudo apt-get install gcc-4.7 g++-4.7