Actually, on Windows it's the "Command Prompt" (not "Run...", though you can start the Command Prompt by typing "cmd" into "Run..."). (I'm assuming you are on Windows)
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
If you're on Windows, just use the CMake GUI (run CMakeSetup.exe, which should be in your Start menu). Here's a nifty tutorial on running CMake. Using CMake through the GUI is easiest. If you have specific questions from that link I just posted, feel free to ask.
Alright what I did was:
Set the source code in Cmake GUI to "F:/CodeBlocks/physfs-2.0.2"
and build the binaries at "F:/CodeBlocks/physfs-2.0.2/build"
However when running it's giving me "The application has failed to start because libgmp-10.dll was not found." 5 times, after which it starts to configure, but before it ends it gives me this error: "Error in configuration process. Project files may be invalid".
What to do?
EDIT: I do have the environmental variables set correctly
CMake Error at C:/Documents and Settings/Stefan.MONA-H6H4KPUJNF/Desktop/cmake-2.8.9-win32-x86/share/cmake-2.8/Modules/CMakeTestCCompiler.cmake:52 (MESSAGE):
The C compiler "c:/mingw/bin/gcc.exe" is not able to compile a simple test