Windows
There is no installation program. Just copy the precompiled "HLMaster.exe" (found in the win32 directory) where ever you want.
Linux/FreeBSD
./configure --prefix=/usr/local
make
make install
This will install hlmaster in /usr/local/bin and also some man-files. To install it into /usr/bin, give configure the appropriate prefix.
Run ./configure --help for more information
./configure --help