Depends: if your change affects the compiler, yes, you need to rebuild fpc.exe.
If the change affects how your own app runs => you only need to rebuild the RTL (and packages).
In practise there is little difference, you run make all, and it does both.
I have my fpc as a checkout from SVN, but it should be the same anyway.
To compile the RTL (and/or fpc itself) you need a working compiler. fpc 2.4.0 prefered, but 2.5.1 may work (but does not always).
change into the fpc directory (where the sources are)
path_to_make\make.exe clean distclean
path_to_make\make.exe all FPC=c:\path_to_fpc_orPPC386\fpc.exe
or put in whatever option you want it compiled with
path_to_make\make.exe all -OPT="xxx"
path_to_make\make.exe install INSTALL_PREFIX=c:\path_to_your_installation COPYTREE=echo
You may have to delete the example directory of your previous installation, before you an install.