CMake is a cross platform build system. The link you gave is a link to a tutorial that explains how to use cmake to create a simple project. You do not need to know that to build a cmake project.
I've never used PhysFS but I'm used to build cmake projects. Usually the build process is the following:
1. open a shell an navigate to the root of the project.
2. there, create a build directory (mkdir build) and navigate to it (cd build)
3. configure the project: cmake .. (before the .. you may add config options to specify the compiler and other options)
3.build the project: make (or nmake or mingw32-make depending on the compiler used)
4.install the project: make install
Thanks a lot for the reply, but as I said it's my first time, I'm a total beginner so I don't know how to open a shell or create a build directory, could you tell me how to open a shell?
EDIT: after researching I found out what you meant by shell, You meant using the run feature. But the rest of the steps are still unknown to me