Many projects involve lots of source files.
In principle, you can manually compile any one of those files by itself -- you use a compiler to compile that source file into a (temporary) object file containing machine code.
In practice, it's far too tedious to manually compile every source file one at a time,
and even more tedious to manually keep track of which source files need to be recompiled.
So we build the entire project at once by running an automated build program -- typically called "make".
That program goes through a list of source files, often stored in yet another "source" file named "makefile", and calls the compiler on each one -- many versions of "make" are smart enough to only recompile the files that have changed and so need to be recompiled.
While compiling is arguably the most important part of the build process, often a "build" runs lots of other programs after the compiler. Occasionally a complete build will spend more time running these other programs than running the compiler.
For example, many people find it convenient to have a single button not only compile all the source code to the latest version, but also run a standard series of tests (C2: One Button Testing).
So the makefile also lists whatever commands are needed to run those tests, which become part of the build process.