"make" refers to a step that is +- halfway in the process of compiling an application on linux.
You need to explain what you want to compile, since for some packages and different ways for the authors to set the package up for local compilation, the process can differ quite a bit.
Typically, compiling an application or package might require these steps (this can vary, though!):
1. Download the source package (can be name.tar.gz or name.tar.bz2, or even name.rar)
2. Extract it.
3. Run ./configure in its folder / directory
4. NOW you run "make"
5. Become superuser
6. Run "make install" (to install it)
7. Run "/sbin/ldconfig" to update your library list (this is often not needed, but I always do it for safety's sake)
8. Delete the installation directory and files for the package or application.
Note that often programs will require "libraries" to be present and compiled, they are packages just like anything else, but do not result in an executable / runnable program being produced. Rather they are there so OTHER programs or libraries can use them in turn. The steps for making / compiling them are usually exactly the same as those for compiling or making an executable / runnable program off a source code "tarball" or archive you have downloaded.