CM-Lex should be installed through Smackage, an ML package manager (see http://github.com/standardml/smackage).
$ smackage
$ smackage get cmlex
$ smackage make cmlex (this will just display the various options)
To install CM-Lex (for Standard ML)
$ smackage make cmlex mlton (or smlnj or win+smlnj)
$ smackage make cmlex install
$ cmlex
Error: not enough input files
Usage: cmlex file.cmlex [-o file.sml]
(Default output file is file.cmlex.sml)
To install CM-Lex-HS (for Haskell)
$ smackage make cmlex mlton+hs (or smlnj+hs or win+smlnj+hs)
$ smackage make cmlex install+hs
$ cmlex
Error: not enough input files
Usage: cmlex-hs file.cmlex [-o file.hs]
(Default output file is file.cmlex.hs)
It is possible to install CMlex without Smackage: just make sure that CMlib v1
(see http://github.com/standardml/cmlib) is installed somewhere on your system,
and change the reference to $SMACKAGE/cmlib/v1 in sources-generic.cm and/or
the reference to $(SMACKAGE)/cmlib/v1 in sources-generic.mlb to point to
the directory where CMlib lives.