mingw32-make.exe can be installed with the standard MinGW32 installer via the appropriate checkbox:
As rubenvb points out, you’ll still need to ensure that it makes it into your PATH. If you edit your environment variables via System Properties, be sure to close and reopen the CMake GUI.
If you’re more accustomed to using make.exe, install MSYS and use MSYS Makefiles as the CMake generator. You’ll also need to put both mingw\bin and msys\1.0\bin into your PATH.