Using make from Windows PowerShell
Take a look at "Make for Windows". After installing you simply call "make" from CMD or PowerShell.
2021 - March Windows 10 Enterprise 64Bit Successful Approach
Despite looking old, the gnuwin install for "make" works fine reflecting stability and backward support in Linux and Windows.
I followed instructions at http://gnuwin32.sourceforge.net/packages/make.htm and http://gnuwin32.sourceforge.net/install.html. Below is what I actually did:
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Download "Complete package, except sources" at (http://gnuwin32.sourceforge.net/downlinks/make.php) this will download:
make-3.81.exe
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execute make-3.81.exe by double clicking on the file
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In the install wizard it will show the install path, which by default is:
C:\Program Files (x86)\GnuWin32
(In the install wizard I did not install the documentation nor create a start shortcut.)
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Add the path to the binaries to the windows path variable. This will be the install path + "\bin". I did this from a windows command shell with:
set PATH=%PATH%;"C:\Program Files (x86)\GnuWin32\bin"
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Confirm addition of path with command:
echo %PATH%
That should show the list of paths and include "C:\Program Files (x86)\GnuWin32\bin"
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Close any apps or shells you want to use the "make" command within and reopen them. This will get the new path location loaded in the apps.
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To test type the following in powershell or windows cmd shell:
make -v
It should show the copyright etc.
Install Make for Windows from GNU Make and add C:\Program Files (x86)\GnuWin32\bin to your Path Path Ubication Edit Path
As this is the first result I get on Bing when I search for "PowerShell make", I'm creating this answer to note that the official GNU page and the mirrors have Make for Windows source as part of the tar.gz file, and that has been updated to version 4.3 as of January 2020. The provided links to the sourceforge in other answers are still the 2006 3.8.1 version. I am not familiar with the changes in 4.x, as I don't use make enough, but think it's good to keep this question updated so when someone else inevitably finds it they don't get confused.
However, the files on the GNU page do not contain any binaries, so you'll have to build make yourself using GCC or MSVC (which is easy, just a single ./build_w32.bat (with some flags depending on you compiler), which is outlined in the README.W32 file. Then you'll need to take the resulting folder, store it where you want, and add to path or create an alias in PowerShell to run the exe.
Only prebuilt binary I could find is hosted on Chocolatey. The Winget and AppGet (website seems to still be running at time of post though it was supposed to shut down) packages are still the old 3.8.1 versions. If there are any other binary locations, please let me know/post in the comments/edit this answer.