To build your program, follow the instructions given in Chapter 1 of the tutorial. The required files are HELLO.H, HELLO.CPP, HELLO.DEF, HELLO.RC, HELLO.ICO, HELLO.DLG, and RESOURCE.H. All are available in the MFC\SAMPLE\HELLO directory in your Microsoft C/C++ installation.
The Programmer's WorkBench (PWB) makefile for HELLO is called HELLO.MAK. The NMAKE makefile is called MAKEFILE with no extension.
HELLO builds as a Windows application, so you must run it from Microsoft Windows.