The line above is pretty vague. The environment area isn't something you should be messing with without knowing EXACTLY what you're doing to it. Can someone be more precise?
Seems pretty self-explanatory to me...
But anyway, for example: If you installed MinGW in c:\mingw, you need to add an environment variable named 'mingw' and set it to 'c:\mingw'
After having b oth that and the path, the option should be available in the IDE.
(without the variable, the option will be greyed out... However, if you have it added to your path, you may still be able to rebuild the modules anyway by pressing CTRL-D in the IDE, although you can't select the menu option with the mouse)