PySCIPOpt does not officially support Windows. There are step-by-step instructions though, in the GitHub issues.
In general, PySCIPOpt is an interface from Python to C that is built using Cython. You need to compile the interface linking to a C library of SCIP. You don't necessarily need to build this library yourself, you might want to use a precompiled one from http://scip.zib.de/#download instead.
You do need a C/C++ compiler in any case. BTW, "that command" is make which is a build tool for Unix that is used to compile code. It doesn'twork out of the box on Windows 7. You either need the Ubuntu Bash from Windows 10 or a Linux "emulator" like Cygwin.