If you want to complie EDK or EDK II
=> How To Build EDK & EDK II Environment In Easy Way
If you want to complie UDK2014
=> How to compile UDK2014 (UEFI Development Kit 2014)
Download the following files :
1. Copy SVN Address for UDK2015.
http://www.tianocore.org/udk/udk2015/
2. Download source code using TortoiseSVN.
3. Follow the next steps for further compiling.
~ Thank you ~