If you want to use gmake 4.0 under Windows, you have 2 options:
This variant is modified to integrate into the Cygwin (e.g. UNIX) environment, and will for instance expect UNIX file paths. If you still want to use it, just copy make.exe from a Cygwin installation, along with the few Cygwin DLLs Windows will complain about if you miss them.
2. Pure GNU Make
This version is available only as source code, but a Visual Studio project comes along, so it’s trivial to build it.
HOWEVER, the release 4.0 is broken under Windows. It can produce some very weird and unexplainable behaviors.
Therefore, you should download the source code with Git, and forget about the 4.0 archive files. Make sure you use at least the commit 87e5b64f419c4873e8340dc71d5553949157601c.