Try checking the release notes for the current version: http://www.glfw.org/release-2.7.7.html

Edit: For reference, I just downloaded GLFW 2.7.7. Opened a command prompt, changed to the root directory of the source, and executed mingw32-make.exe (Code::Blocks, gcc 4.7). It presented me with a list of targets; re-executed mingw32-make.exe win32-mingw and it built flawlessly. So maybe instead of just asking for a tutorial on something that apparently isn't really difficult enough to require one, you could instead state the specifics of your problems and maybe we could help you out.

Try checking the release notes for the current version: http://www.glfw.org/release-2.7.7.html