Currently, the make files in pyrosim are only set up to install ODE on Linux and Mac machines. After you have downloaded the repo from github go into the pyrosim root folder (contains build.sh). Then run
$ sh build.sh
This will build ODE and compile the pyrosim C++ code creating the executable simulator. You can now use pyrosim as a local module or import it system wide using
$ pip install -e .
Support for windows using MinGW should be coming shortly.