You need to install Emscripten from https://emscripten.org/docs/getting_started/downloads.html, and have the environment variables set, as described in https://emscripten.org/docs/getting_started/downloads.html#installation-instructions
Depending on your configuration, in Windows you may need to run emsdk/emsdk_env.bat in your console to access the Emscripten command-line tools.
Then build using make while in the example_emscripten/ directory.
Note that Emscripten 1.39.0 (October 2019) obsoleted the BINARYEN_TRAP_MODE=clamp compilation flag which was required with version older than 1.39.0 to avoid rendering artefacts. See #2877 for details. If you use an older version, uncomment this line in the Makefile:

#EMS += -s BINARYEN_TRAP_MODE=clamp