In order to compile things on that system, it needs to have make, gcc, and a whole lot of other stuff that's not usually found on embedded devices. Typically, you cross-compile it on another machine then put the binary on the embedded system. You may be lucky enough to not have to compile it. You can get the binary for your architecture and try running it on the system.
Cross compiling is a large topic, and there are lots of tools out there that try to make it easier. Some things to search for: linaro, buildroot, crosstool.
To get the binary, go to packages.debian.org, search for the package that has the binary, download the appropriate one for your architecture (such as arm), open it with an archive manager, and look at the "data" folder - this will have the binaries. It may turn out that the binary needs libraries that are also not installed - you can do the same process - find the package with the library you need, copy the binary over to the target system and try again.