What to do with config.guess?
 

Usually I compile programs like this.

./configure
make
sudo make install

But sometimes there will also be a file in the directory called config.guess.

When am I supposed to run this program?

You don't. It's part of the autotools suite. See the manpage --> http://linux.die.net/man/1/config.guess

Is it run automatically by ./configure? I've used autoconf before to get things to compile, but I'm not clear on when to use it and when not to.

Yes, it is run by the configure script. Take a look at the autoconf manual --> http://www.gnu.org/software/autoconf.../autoconf.html Especially chapter 14.