Download the tarball and unpack it (e.g. tar xvfz tarball name)
Put the herwig headers you wish to build against in some directory called include. Rename (or symlink) HERWIG65.INC to lower case, herwig65.inc.
./configure --with-herwigVERSION=/path/to/dir/above/herwigheaders
where the path is to the directory above your include directory.
make
make install
By default, the last step will try to install the jimmy library in
/usr/local. If that is not what you want (for instance if you don't
have write permission to that directory) you should specify
--prefix=/my/directory when you do the ./configure stage.