For most linux distributions it comes pre-installed as part of the installation.
For Mac OS X, installing the X-Code command line tools will give you it.
For Windows you will need to install make. I prefer just to install make by itself:
Then you’ll have to make sure that it’s added to your PATH variable so you can access it.
Select the folder which when installed contains the binary file
Something like “C:\Program Files (x86)\GnuWin32\bin”