How do I build Lua in Windows and other systems?
This depends on your compiler. Most compilers in these platforms require that you create “project” files. You’ll need to create projects (or whatever your compiler uses) for building the library, the interpreter, and the compiler. The sources are all in the src directory. The exact lists of which modules should go into which project are given in the file INSTALL. See also BuildingLua in the wiki. Chapter 1 of the book Beginning Lua Programming contains detailed instructions for downloading, building, and installing Lua. If you don’t have the time or the inclination to compile Lua yourself, get a binary from LuaBinaries. Try also Lua for Windows, an easy-to-use distribution of Lua packed with several useful libraries.