Following should be all you need
wget https://gdc.nci.nih.gov/files/public/file/gdc-client_v1.0.1_Ubuntu14.04_x64.zip unzip gdc-client_v1.0.1_Ubuntu14.04_x64.zip ./gdc-client (to verify that program works)
Next step is optional. You could copy the client to a directory in your $PATH or to the location below (if it exists on your computer)
cp -pi ./gdc-client /usr/local/bin (if this does not work) sudo cp -pi ./gdc-client /usr/local/bin
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Genomax2 gave a good answer
I don't quite know where your error is, but check and make sure you are also in the correct operating system. If you are not in fact using Ubuntu and have Linux, you might have to build the client from the source code (download the source code from the GitHub website: https://github.com/NCI-GDC/gdc-client) and then build with Python.