For ESP8266, check out the build instructions at https://github.com/micropython/micropython/blob/master/ports/esp8266/README.md and try and follow along. There’s quite a lot to download, especially during the process of installing https://github.com/pfalcon/esp-open-sdk
Running ‘make’ on esp-open-sdk will download lots more stuff, so get that under way before the tutorial.
For ESP32 the build process is a little simpler, but check out https://github.com/micropython/micropython/blob/master/ports/esp32/README.md and follow along.
The ESP-IDF README.md includes instructions on how to set up on Windows, OSX and Linux. Download the binary xtensa toolchain, and add it to your PATH. I use & recommend ‘direnv’ for this.