Linux:
make vanitygen oclvanitygen

OSX:
make -f Makefile.osx vanitygen oclvanitygen

Windows:
Tools: Microsoft Visual Studio 2010, Visual C++
Prerequisites:
  - OpenSSL 1.0.0d: http://www.slproweb.com/products/Win32OpenSSL.html
  - pthreads-Win32: http://sourceware.org/pthreads-win32/
  - PCRE: http://www.psyon.org/projects/pcre-win32/
  - AMD APP SDK -or- NVIDIA CUDA SDK

Once you have set up these components, edit the Makefile.Win32 to 
include the paths where these components are located.

Note that pthreads and PCRE may be built as static libraries or DLLs.  
The default Makefile includes CFLAGS to link the static versions of 
those libraries.  If you want to link against DLLs, make sure to change 
the CFLAGS.

Then, open a Visual Studio command prompt window, and run:

nmake /fMakefile.Win32 vanitygen.exe oclvanitygen.exe