I assume you're on windows. Get the devkitPro installer from devkitpro.org. Make sure you install devkitPPC (GC/Wii) (devkitARM is for the GBA/DS, take a guess for devkitPSP).
After the install is done, restart, or logoff/logon. Then find Msys in your start menu under devkitPro, this will get you a shell. To compile, navigate to the folder (cd /c/devkitPro/.../project/) (CASE SENSITIVE) and type "make".