These instructions assume some level of prior knowledge:
1) How to write and test a make file
2) How to write and test a regular expression
1) You need to have a working make file that works correctly from a terminal
2) Next launch ST2 from the command line; if you launch it from a GUI you won't pick up your environment variables
3) Create a file, name it "myproject.sublime-project"; put the following in it, and save.
"name": "my build",
"file_regex": "^[ ]*File \"(...*?)\", line ([0-9]*)",
4) Open the project: Project/Open Project...
5) Select your build rule: Tools/Build System/myproject
6) Select build: Tools/Build
7) Build results will appear in a new window on the bottom.
8) F4 should take you to your first error. If not, then you need to fix the regular expression in the project file so that the first grouping selects the file name, and the second selects the line number.