Im using Ubuntu 12.04 LTS. I don't know if it makes a difference but CPU's architecture is 64bit (Intel i3).
You don't install OpenMP. OpenMP is a feature of the compiler. Check that the compiler you are using implements OpenMP, which is an API for parallel programming in C/C++/Fortran.
Check with the OpenMP website, openmp.org for a list of compilers and platforms that support OpenMP programming.