These instructions apply to the Cog branch of the Squeak VM project, the Pharo VM and the Newspeak VM.
To build the VM check-out the Cog sources from github, e.g.:
$ git clone http://www.github.com/OpenSmalltalk/opensmalltalk-vm oscogvm $ cd ./oscogvm
Then read the various HowToBuild files in the build.
$ find build.* -name .git -prune -o \( -name HowToBuild \)
Currently the VM is built on Mac OS X 10.9.x using Xcode 6.x or 7.x and clang, on Linux using gcc 4.1.2 and on Windows using Cygwin 5.1 and gcc 3.4.4.