You need to install Java (JDK) on your computer before you can build Caves of Zircon. Alternatively you can use one of the releases here for which a JRE will suffice.
This is how you run Caves of Zircon:
git clone https://github.com/Hexworks/caves-of-zircon.git
cd caves-of-zircon
./gradlew clean build
java -jar build/libs/caves-of-zircon.jarHappy hunting!