To run applications in parallel on a cluster, they have to be specifically enabled to do so. An application that is capable of running on a multi-core architecture is not necessary capable of using multiple cores spread across a cluster, either. This is "Shared memory / threading" (multicore) versus "distributed memory / message passing" (cluster) distinctions in the world of parallel programming.
If you're using Linux, there's plenty of free software to help enable cluster computing. Start at http://www.beowulf.org for some pointers. If an application says it was built with MPI, then it's ready to go on a cluster. Other tools that say they support distributed computing (e.g. gmake -p) should also work with a bit of setup.
If you're a windows user, then Windows HPC Server 2008 R2 is the way to go, as it will have the software stack you need to begin exploring - but it ain't free!
If you're interested in learning about cluster computing, then building your own is a great way to go, and will give you some bullets on your resume that look good to employers. If you're just looking to slap something together quickly to get more performance out of an existing set of applications, you'll likely be disappointed and frustrated.