Hello,
I have root version 6.14/02. I went through the TMVA users guide in which it is mentioned that to build the library we have to execute make in tmva directory.
In case it can be useful, note that all recent ROOT releases come with TMVA included, you don’t have to install it separately (that user guide and that repository are quite out of date).
Instructions for installing recent ROOT versions (you don’t necessarily have to compile it from source) can be found at https://root.cern/install .