Many platforms have a precompiled version of analog available.
Before compiling analog, have a look at the analog home page to see if yours does. If you're not using one of the platforms for which a precompiled version is available, you'll have to compile your own version from the source. First, you should look at the file anlghead.h, and see if there's anything you want to edit. When you have done that, you need to compile the program. How to do that depends on which operating system you're using.