It depends on what compiler you are using. If you're using GCC or MinGW, type make. If make cannot be found, either it is not installed, or it's not in your path (more likely to be the case). Try using the command prompt shortcut Qt provides you (if on Windows). If on a POSIX-based/-like system, make should exist. If it doesn't, then it depends if you're on a Mac or on Linux/BSD. On a Mac, make should come with the developer tools, which is one of the last CDs in the OS X installation CDs. If you're on Linux, use your package manager. rpm for Red Hat based systems, apt for Debian based systems, and so on. Google about them.
If you're using Visual C++ and nmake doesn't work, it could mean that nmake isn't on your path. Try using the Visual C++ command prompt instead of the normal command prompt (should be somewhere in your start menu).
It would be more helpful if you could mention how you installed Qt, and on what system.