You need to precede the lines starting with gcc and rm with a hard tab. Commands in make rules are required to start with a tab (unless they follow a semicolon on the same line).
The result should look like this:
PROG = semsearch
all: $(PROG)
%: %.c
gcc -o $@ $< -lpthread
clean:
rm $(PROG)
Note that some editors may be configured to insert a sequence of spaces instead of a hard tab. If there are spaces at the start of these lines you'll also see the "missing separator" error. If you do have problems inserting hard tabs, use the semicolon way:
PROG = semsearch
all: $(PROG)
%: %.c ; gcc -o $@ $< -lpthread
clean: ; rm $(PROG)