In Linux:

cd src
make linux

This should create the executable. You need to
install the Allegro library for compilation to work.
(alleg*[.rpm/.deb] package, or http://alleg.sf.net)

In Windows (Shame on you for reading an INSTALL file,
no real windows user does that!):

Just run the provided executable.

If you want to compile, just compile all the .c files
with any C compiler, and link against the Allegro
library. (Tested only with mingw, but anything should
work.)
