Parsing compilation error/warning not possible.

[william . a . george]

Hi.
I'm using Emacs on WindowsXP.
I make compilations through emacs with an own written Makefile. The
compilation result is presented on a new buffer. It should be possible
to click on the error or warning message to go directly to the
corresponding line in the file where the error is.
But I can't make it happen. I have read a little bit about this, and
what I could find is something about (compilation-error-regexp-alist)
that should fix this in someway.
Can anyone tell me how this should be done?

Thanks in advance

William George.