You must have the most up-to-date version of Haxe.
Open up a Command Prompt/PowerShell or Terminal, type haxelib install hmm
After it finishes, simply type haxelib run hmm install in order to install most of the needed libraries.
hxvlc doesn't work properly with Haxe Module Manager, so it must also be installed separately from this repository:
haxelib install hxvlc 1.2.0
Afterwards, you're ready to compile!