short answer - you can't really use true Linux/Unix commands on a Windows machine. Different OS, different utilities and a completely incompatible filesystem.
To be more specific to camslaz, to compile C source on Windows you are going to need a Windows Native C compiler. I speak of C, because it is the most common variant of source code for 'things web'. Unix and Linux have always 'come' with a C compiler -- right from the very origins of Unix. And make/build is a function of the OS having that C compiler available (although make can actually use any compiler with a Command Line Interface).
The two most popular C Compilers (really environments) are both Microsoft Products. Visual C++ and Visual Studio. There are two versions Visual Studio 6, and Visual Studio 2008 (VC9). When you 'read up' you will find that the Apache and PHP in XAMPP are compiled with 'VC6' - and that is what's needed to keep things working with Apache (the critical component). The Visual Studio 2008 compiler is intended for the IIS webserver.
here are two threads to read:viewtopic.php?f=16&t=40872&p=161560&hilit=Compiler#p161560viewtopic.php?f=16&t=40825
and finally the definitive word on PHP -- from PHPhttp://windows.php.net/download
Read the part in the left column about compiling PHP on WIndows.
There have been hacks posted here to patch VC9 DLL's to run with VC6 binaries, its OK IF YOU know what all the dependencies were and are sure you won't come up missing a part. I don't feel real comfortable that I know that much.