If you haven't already, download the sources from the trading-shim site. Choose a directory in which to place the tarball, and unpack the sources, using the tar command, Figure 3.2. E.g., tar xzpvf shim-070810.tgz, where x means extract; z, uncompress; p, preserve permissions; v, verbose file listing; and f refers to the tarball file name, here a daily from August tenth.
Compile the sources. The Makefile is currently set to use g++ directly, although you may also use distcc if you have it installed. From the directory into which tar unpacked the sources, in the example above shim-070810, from the shell command prompt, simply type make. For those uncertain about what to expect from this step, there is more information about the Makefile script in § A.1.
You can verify that the compile succeeded by trying to run the shim, from the shell command prompt, simply typing the (incomplete) command ./shim. The shim should start and quit, with the usage message of Figure 3.3, in which case you know that the compile succeeded.