(Gnu) make is installed almost by default on a linux machine. Same for OSX.
To get the same command line experience on windows, you will want to install GNU Make for windows and follow the instructions there, but read the tips below.
Some tips during that install:
Keep you PATH variable short. To do that, choose to install your
c:\winmakeor something similar, not under …Program Files….
c:\winmake\bincan be added to the PATH environment variable, so you can invoke make in every directory.