By far the easiest and best way to install GNU Mach and the operating system is to obtain a GNU binary distribution. The GNU operating system consists of GNU Mach, the Hurd, the C library and many applications. Without the GNU operating system, you will only have a microkernel, which is not very useful by itself, without the other programs.
Building the whole operating system takes a huge effort, and you are well advised to not do it yourself, but to get a binary distribution of the GNU operating system. The distribution also includes a binary of the GNU Mach microkernel.
Information on how to obtain the GNU system can be found in the Hurd info manual.