Comments in a makefile start with a # character and extend to the end of the line. They may appear anywhere you want them, except in a shell command (though the shell will treat it as a comment, too). If, for some reason, you need to use the # in a variable or on a dependency line, put a backslash in front of it. PMake will compress the two into a single #.
Note: This is not true if PMake is operating in full-compatibility mode).