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 following variables
in Makefile.Win32 to reflect the paths where these components were
installed:

OPENSSL_DIR
PTHREADS_DIR
PCRE_DIR
OPENCL_DIR

Note that pthreads and PCRE may be built as static libraries or DLLs.  
The default Makefile.Win32 includes CFLAGS required to link the static
versions of those libraries.  If you want to link against DLLs, make
sure to change the CFLAGS.

Additionally, to create a usable static build of the pthreads-Win32
library, some other changes must be done.  You must edit the Makefile,
and remove "/MD" from the CFLAGS.  Then, build with: "nmake VC-static"

After dependencies have been prepared, open a Visual Studio command
prompt window, and run:

nmake /fMakefile.Win32 vanitygen.exe oclvanitygen.exe