I just downloaded blender souce.
How do I build it?
I tried make command, but I am getting this:

Btw, I am doing this on Windows using Cygwin.
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Large and complicated projects such as Blender often have many dependencies and intricacies which makes building them yourself a pretty daunting task. Usually the source code is accompanied by the build instructions which tell you how to build it. But you often can find them on the web, too.