Looks like you've succesfully compiled Odamex. Now, to get it working, copy odamex.wad (it should be in ~/Jeux/Doom/Odamex/odamex-src-0.6.2/ to same directory where the client binary is (it should be ~/Jeux/Doom/Odamex/odamex-src-0.6.2/build/client in your case, but you can move it to another directory), start odalaunch (should be in ~/Jeux/Doom/Odamex/odamex-src-0.6.2/odalaunch/odalaunch), configure paths from File->Settings->File Locations ("Odamex Path" should be where your Odamex client binary is).
Maybe there's a simpler way, I don't know.
BTW, IIRC by default build type is "Debug", which gives rather CPU-hungry binaries. You should probably recompile with build type set to "Release".