Download and install ALE. Instructions for installation are in the ale folder in manual.pdf.
Clone this repo and run following (note: it'll be different for your system)
mkfifo in.fifo
mkfifo out.fifo
ln -s ~/Downloads/ale_0.4.4/ale_0_4/ale ale
ln -s ~/Downloads/roms roms
Symbolically link to this repo from inside the ALE installation. Something similar to $ ln -s ~/src/deep-learning/project/ deep