My names is Bernard. I'm from Brazil.
Lets get started

1] Download the PSY-Q SDK 4.6 | Download |
2] Put it in C:\ PSX folder like this (or, just use psyq as the default if you do not want to rename):

3] Edit the PSPATHS batch file (.BAT) like this (skip this is you left it as the default name, psyq):

4] This is what it should look like:

5] Now, run the batch file (PSPATHS.BAT).

The environment is ready. Now we can compile a sample program.
We will compile 'Hello World'.
Download hello.c : http://www.filefactory.com/file/yj2uq8k6cf9/n/hello.rar
The hello.c program was created and placed in the folder called hello along with hello.c and makefile.mak
To compile hello.c, run psymake while under the folder hello (working directory)

The main.exe file will be created.
You can run that in a PS1 emulator to test it (seen below)
Success!
Comment of the next tutorial will be entering the compilation tim tmd program.