You write a make file to tell your C compiler what files to pull together to compile your project into an executable. If it's not a large project (just a few source and header files for example) then you don't always need a make file, but it can still help by not having to type the compile command out each time. In the context of Sublime, it helps because you can also create and edit the make file in Sublime, and rebuild the whole project with one keypress.
Take baby steps: 1> figure out how to compile a test program from the command line; 2> write a simple make file and compile with it from the command line; 3> get it to compile from the make file within Sublime.
There will be plenty of info on the net for doing the first two, and then the third step should be easy.