Nominally, VecFX is included as part of Mo++, and is automatically compiled along with the rest of Mo++'s libraries. However, if you choose to work on it separately, you can compile it like so:
Make sure you have pugixml installed. You can find its installation instructions at its website.
Clone the repo from github:
git clone https://github.com/PhantomzBack/VecFX.git && cd VecFX
From there, assuming you have GNU make and the g++ compiler, all you need to do is
make
For any other compiling options, run make help, which will list all compiling options.