First thing is to get a copy of MPFQ from http://www.mpfq.org and to uncompress it to get the sources in a path that we call in the following path_to_mpfq.

With CMake, out-of-source compiling is mandatory, so create a directory to contain the build. Let's call it build_dir in the sequel.

Go to build_dir, run cmake and make:

$ mkdir build_dir
$ cd build_dir
$ cmake path_to_mpfq/src
$ make
      

This will create in build_dir a directory tree similar to that of path_to_mpfq/src containing a lot of CMake junk, macro-generated source files and compiled files. It is reasonable to pass the -j to the make, in order to use the mulicore / hyperthreaded capabilities of your computer to speed-up this rather long compilation.