Actually, I get the same error while building current cebix/macemu code.
The VM error occurs if configure can't find vm_alloc.cpp.
Similarly, "Windows exceptions" error occurs if sigsegv.cpp is not found.
Confirm two files are exist at the directory written in configure file.

cd src
cd SDL-1.2.15
PATH=`pwd`/bin:$PATH
export PATH
cd ..
cd macemu-windows_build_script
cd SheepShaver
make links
cd src/Windows
ln -s ../Unix/m4
NO_CONFIGURE=1 ../Unix/autogen.sh
## see firstoutput.txt
./configure --with-gtk=no --disable-jit
## delete sysdeps.h, line 28: #define min(x,y) ((x) < (y) ? (x) : (y))
## delete from makefile, line 40, the string "-lpthread"
make
## see secondoutput.text

Edward@Edward ~/src/macemu-windows_build_script/SheepShaver/src/Windows
$ NO_CONFIGURE=1 ../Unix/autogen.sh
+ Running aclocal: configure.ac:186: warning: AC_CACHE_VAL(ac_cv_gcc_no_strict_aliasing, ...): suspicious presence of an AC_SUBST in the second argument, where no actions should be taken
/mingw/src/autoconf/26/autoconf2.5-2.68-1/src/autoconf-2.68/lib/autoconf/general.m4:2032: AC_CACHE_VAL is expanded from...
/mingw/src/autoconf/26/autoconf2.5-2.68-1/src/autoconf-2.68/lib/autoconf/general.m4:2053: AC_CACHE_CHECK is expanded from...configure.ac:186: the top level
done.
+ Running autoheader: configure.ac:186: warning: AC_CACHE_VAL(ac_cv_gcc_no_strict_aliasing, ...): suspicious presence of an AC_SUBST in the second argument, where no actions should be taken
/mingw/src/autoconf/26/autoconf2.5-2.68-1/src/autoconf-2.68/lib/autoconf/general.m4:2032: AC_CACHE_VAL is expanded from...
/mingw/src/autoconf/26/autoconf2.5-2.68-1/src/autoconf-2.68/lib/autoconf/general.m4:2053: AC_CACHE_CHECK is expanded from...
configure.ac:186: the top level
done.
+ Running autoconf: configure.ac:186: warning: AC_CACHE_VAL(ac_cv_gcc_no_strict_aliasing, ...): suspicious presence of an AC_SUBST in the second argument, where no actions should be taken
/mingw/src/autoconf/26/autoconf2.5-2.68-1/src/autoconf-2.68/lib/autoconf/general.m4:2032: AC_CACHE_VAL is expanded from...
/mingw/src/autoconf/26/autoconf2.5-2.68-1/src/autoconf-2.68/lib/autoconf/general.m4:2053: AC_CACHE_CHECK is expanded from...
configure.ac:186: the top level
done.

Edward@Edward ~/src/macemu-windows_build_script/SheepShaver/src/Windows
$ make
cp -p ../CrossPlatform/vm_alloc.cpp vm_alloc.cpp
cp -p ../CrossPlatform/vm_alloc.h vm_alloc.h
cp -p ../CrossPlatform/sigsegv.cpp sigsegv.cpp
cp -p ../CrossPlatform/sigsegv.h sigsegv.h
cp -p ../CrossPlatform/video_vosf.h video_vosf.h
cp -p ../CrossPlatform/video_blit.cpp video_blit.cpp
cp -p ../CrossPlatform/video_blit.h video_blit.h
g++ -I../kpx_cpu/include -I../kpx_cpu/src -I../include -I. -I../slirp -DHAVE_CONFIG_H -O2 -I/home/Edward/src/SDL-1.2.15/include/SDL -D_GNU_SOURCE=1 -Dmain=SDL_main -c ../main.cpp -o obj/main.o
g++ -I../kpx_cpu/include -I../kpx_cpu/src -I../include -I. -I../slirp -DHAVE_CONFIG_H -O2 -I/home/Edward/src/SDL-1.2.15/include/SDL -D_GNU_SOURCE=1 -Dmain=SDL_main -c main_windows.cpp -o obj/main_windows.o
In file included from main_windows.cpp:46:0:
util_windows.h:66:5: error: 'constexpr' does not name a type
constexpr null_delete() noexcept = default;
^
util_windows.h:66:5: note: C++11 'constexpr' only available with -std=c++11 or -std=gnu++11
util_windows.h:67:59: error: expected initializer before 'noexcept'
template <class U> null_delete(const null_delete<U>&) noexcept { }
^
util_windows.h:68:26: error: expected ';' at end of member declaration
void operator ()(T*) const noexcept { }
^
util_windows.h:68:32: error: 'noexcept' does not name a type
void operator ()(T*) const noexcept { }
^
util_windows.h:68:32: note: C++11 'noexcept' only available with -std=c++11 or -std=gnu++11
util_windows.h:71:5: error: 'constexpr' does not name a type
constexpr null_delete() noexcept = default;
^
util_windows.h:71:5: note: C++11 'constexpr' only available with -std=c++11 or -std=gnu++11
util_windows.h:72:26: error: expected ';' at end of member declaration
void operator ()(T*) const noexcept { }
^
util_windows.h:72:32: error: 'noexcept' does not name a type
void operator ()(T*) const noexcept { }
^
util_windows.h:72:32: note: C++11 'noexcept' only available with -std=c++11 or -std=gnu++11
util_windows.h:73:53: warning: defaulted and deleted functions only available with -std=c++11 or -std=gnu++11
template <class U> void operator ()(U*) const = delete;
^
util_windows.h:77:6: error: 'unique_ptr' in namespace 'std' does not name a template type
std::unique_ptr<char[]> str(const wchar_t* s);
^
util_windows.h:78:6: error: 'unique_ptr' in namespace 'std' does not name a template type
std::unique_ptr<wchar_t[]> wstr(const char* s);
^
util_windows.h:80:13: error: 'unique_ptr' in namespace 'std' does not name a template type
inline std::unique_ptr<const char[], null_delete<const char[]>> str(const char* s)
^
util_windows.h:84:13: error: 'unique_ptr' in namespace 'std' does not name a template type
inline std::unique_ptr<const wchar_t[], null_delete<const wchar_t[]>> wstr(const wchar_t* s)
^
make: *** [obj/main_windows.o] Error 1

You have to add compiler option "-std=gnu++11" in case using old MinGW, latest one doesn't need.
Or, try to build using latest MinGW.

cd src/SDL-1.2.15
./autogen.sh
./configure --disable-shared
make
make install
## when rebuilding SheepShaver after building SDL, skip the previous steps, but cd to SDL-1.2.15 and perform the next steps:
PATH=`pwd`/bin:$PATH
export PATH
cd ..
cd macemu-windows_build_script
cd SheepShaver
## next step (make links) not needed after first time
make links
cd src/Windows
## next step create symbolic link) not needed after first time
ln -s ../Unix/m4
NO_CONFIGURE=1 ../Unix/autogen.sh
./configure --with-gtk=no --disable-jit
## next step (edit sysdeps.h) not needed after first time
## delete sysdeps.h, line 28: #define min(x,y) ((x) < (y) ? (x) : (y))
## next step needed every time (unless you make matching edit in makefile.in)
## delete from makefile, line 40, the string "-lpthread"
make
strip SheepShaver.exe

I seem to recall a similar error when creating disk images.
As making disk images can easily be resolved in OSX, I never bothered.
Here are some disk images collected: http://macintoshgarden.org/apps/disk-images-emulators
The 6th DL was made available by Cat_7 for PearPC some time ago, it will work with other emulators too.

All .bz2 files should be expandable with 7Zip in Windows.
Depending on your cpu, inflating may take some time.
I recall my Pentium III was busy that long that I thought my OS had crashed.