Building Exupery from source just involves installing VMMaker and Exupery from SqueakMap, then finally compiling an Exupery VM. It's important to use the same version of VMMaker as Exupery, this is so that the overridden methods match between Exupery and VMMaker. Getting the wrong VMMaker version will cause your VM to crash.
This bit is optional, it's just to make surpe that you have a working VM building environment before adding Exupery to the mix.
Install VMMaker 3.8b3 from SqueakMap
Get the corresponding C support files. Place them somewhere where VMMaker can find them. Use "svn export http://squeakvm.org/svn/squeak/tags/unix-3.7-7" to get the correct sources.
I guess the Windows file goes in the equivilent Windows directory.
Install Exupery 0.10 from SqueakMap and VMMaker-wbk.42.mcz from the Exupery project on SqueakSource or the latest versions of each from SqueakSource. The current release on SqueakMap should be fairly stable but Exupery has a large test suite so the current dev version shouldn't be any worse. If you're not sure, then run all the tests, if they pass it's probably as good as what's on SqueakSource.
Build a VM
Run the tests in the class ExuperyStoryTests. If they all pass everything works.