Building does not require an SGX enabled computer, so you can check if it compiles even if you don't have an SGX capable machine.
CMake is configured to make everything when run in the top directory.
Preparation (assuming Ubuntu 18.04):
sudo apt install cmake libssl-dev libprotobuf-dev
Build Musl:
cd musl; ./configure; make
Generate Makefile:
cmake .
Build it:
make
Testing requires an SGX enabled machine with intel's SGX driver and SGX psw installed
cd loader
./loader ../samples/hello