Compile GMediaServer by running configure and then make. This should produce an executable gmediaserver in the src subdirectory, which can be used right away. No extra files need to be installed.
If you want to install GMediaServer on your system, run make install. This will copy the executable into the appropriate directory (/usr/local/bin by default).
For more information regarding configure and make, see the INSTALL document.
If you got the source code from CVS, you will need to run gnulib-tool --import followed by autoreconf before the above commands.