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Typically the install sequence on a Linux machine is ./configure make make install, which take advantage of the autotools packages like autoconf, make, etc. It configures the package to the machine, builds it, and installs it.
Since this toolchain isn't there on Windows, so dealing with Windows varies from project to project (worst case you replicate everything on your own). You'll have to investigate. Usually there's a README file and INSTALL files or some combination. They are plaintext files with instructions, so open up such files and read their install instructions. They may indicate something Windows specific or give hints as how to build on other platforms.
Sometimes support is provided by a visual studio solution packaged somewhere. That requires further investigation and some intuition. If there's a zip file called VC or VS lying around, that would be worth investigating. But there's no rule.
Sometimes the project distributes for Windows source code packages. Check the downloads in that case. You haven't pointed us to the project, so no one can help you with that investigation, so I've simply pointed you in directions I would investigate.
If you're confused, asking on the project's help channels is the smartest option, really. They may have a forum or a mailing list. They may have an IRC channel. Or it's someone you e-mail, if they reveal their e-mail addresses.
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