If you are using XEmacs, you will need to edit Makefile as follows before continuing.
EMACS=xemacs
SITEFLAG=-no-site-file
You can byte-compile Emms by first entering the directory containing the Emms source code, followed by invoking:
make
Which will byte compile Emms. You can then invoke:
make install
Which will install Emms into your Emacs directories (provided you have the appropriate permissions to do so on your system).
Note that Emms is a light-weight and agile program, you can therefore run Emms just fine without byte compiling it.