Csdp is free software and is available in most Unix systems. Eg. on Debian-based systems
apt-get install csdp
or, on OSX
brew install csdp
Csdp binary has to be available in the path.
Mosek
Mosek is a commercial tool available at www.mosek.com. OSDP is linked against the dynamic library of Mosek. Make sure that the library is available in the dynamic library environment variable.
Let PATH_TO_MOSEKDIR be path that contains the dynamic library, eg. libmosek64.so on Linux and libmosek64.dylib on OSX.