This is the purpose of package managers... to keep track of files which are installed and provide mechanisms for un-installing and so on.
This program you mention sounds pretty obscure, and as such there is likely no package for it in your distribution (I find none in Ubuntu anyhow). In this case it is the responsibility of the program developer to provide an un-install mechanism (or at least instructions on how to do it manually). Some Makefiles do have an uninstall target, but by no means all.
There are two realistic options for you: try to figure out what files it installed yourself and delete them, or ask the developers for help.
The web-site provides this information about getting support: