The first problem I had was that make was being used from Borland. I changed to the mingw32-make -f makefile.g95 FINAL=1. I received the following message and I'm stuck.
It attempts to do the cp command cp ../../include/wx/msw/setup.h ../../lib/msw/wx/setup.h
and it comes back failed
make <e=2>: The system cannot find the file specified mingw32-make: *** [../../lib/msw/wx/setup.h] Error 2
I modifed the file and did the copy up one level as specified in the instructions.