the information on vcftools' documentation page is very precise. in fact it is very short and simple: you only need to run "make" on the vcftools folder after uncompressing the tar ball you downloaded, and the installation will be immediately performed.

but as you mentioned nmake, the M$ version of make, I think you are trying to install vcftools on a windows machine, and although it is a perl based tool I'm pretty sure it uses the power of linux/unix environments through system calls. it is not stated on the documentation, but I believe vcftools is only supposed to be used on a linux/unix environment, not on a windows machine. if this is your case, you may have to start thinking about alternatives such as cygwin (creates a unix environment on top of your windows machine), virtualbox (allows running multiple OS in parallel), wubi (allows easy installation of dual-booting ubuntu on a windows machine), or directly installing a linux distro on your machine.