configure is a script which creat make files. this is created by autotools.
This makes the source code compilation and installation very easy. so what you do is this:
Install cygwin as said above.
unpack the source or whatever you want to install/compile
go in that directory. So if you have unpacked it in:
/home/JesusAlex/SFL, cd to this directory
then just do this:
./configure
which will create a make file for the project.
then run:
make
this will compile your soruce, make sure that make is installed.
then run:
make install
this will install all the libraries and headers at proper places.
this will generally install it in
/usr/local/lib
/usr/local/bin
if you want to install it at some other place do this:
./configure --prefix=<new path to install>
to see all other options do this:
./configure --help