As of 2022 there are some changes and at least one option not covered in earlier answers. First, to note, the Make for Windows tool linked in the original post is now 16 years out of date (v3.81, the latest GNU Make version is v4.3)
Several options are mentioned in this stackoverflow post (reproduced below)
make is a GNU command so the only way you can get it on Windows is
installing a Windows version like the one provided by GNUWin32.
Anyway, there are several options for getting that:
The most simple choice is using Chocolatey. First you need to install this package manager. Once installed you simlpy need to
install make (you may need to run it in an elevated/admin command
prompt) :
choco install make
Other recommended option is installing a Windows Subsystem for Linux (WSL/WSL2), so you'll have a Linux distribution of your
choice embedded in Windows 10 where you'll be able to install make,
gccand all the tools you need to build C programs.
For older Windows versions (MS Windows 2000 / XP / 2003 / Vista / 2008 / 7 with msvcrt.dll) you can use GnuWin32.
An outdated alternative was MinGw, but the project seems to be
abandoned so it's better to go for one of the previous choices.
The version available through Chocolatey is likely to be the best behaved option if you want to integrate into other windows applications' workflows, as it sets up appropriate path entries. I've used this successfully with VS Code, whereas the WSL solution didn't play nice with filesystem paths in the Makefile extension.
If setting this up for commercial, non-personal uses, remember to review the license requirements, as that may change which of the above options is an appropriate solution.