CMake is a cross-platform build-generator tool. CMake does not build the project, it generates the files needed by your build tool (GNU make, Visual Studio, etc) for building HPX.
If you are really anxious about getting a functional HPX build, go to the Quick Start section. If you are a CMake novice, start on Basic CMake Usage and then go back to the Quick Start once you know what you are doing. The Options and Variables section is a reference for customizing your build. If you already have experience with CMake, this is the recommended starting point.