I'm on Windows 10, I installed the Toolchain by following chapter 8.2 of the getting-started-with-pico.pdf. I created the test-project by following chapter 7 of the same pdf.

Contents of my project folder

CMakeLists.txt

cmake_minimum_required(VERSION 3.12)

include(pico_sdk_import.cmake)

project(test_project)

pico_sdk_init()

add_executable(test test.c)

pico_enable_stdio_usb(test 1)

pico_enable_stdio_uart(test 1)

pico_sdk_import.cmake

# This is a copy of <PICO_SDK_PATH>/external/pico_sdk_import.cmake

# This can be dropped into an external project to help locate this SDK
# It should be include()ed prior to project()

if (DEFINED ENV{PICO_SDK_PATH} AND (NOT PICO_SDK_PATH))
    set(PICO_SDK_PATH $ENV{PICO_SDK_PATH})
    message("Using PICO_SDK_PATH from environment ('${PICO_SDK_PATH}')")
endif ()

if (DEFINED ENV{PICO_SDK_FETCH_FROM_GIT} AND (NOT PICO_SDK_FETCH_FROM_GIT))
    set(PICO_SDK_FETCH_FROM_GIT $ENV{PICO_SDK_FETCH_FROM_GIT})
    message("Using PICO_SDK_FETCH_FROM_GIT from environment ('${PICO_SDK_FETCH_FROM_GIT}')")
endif ()

if (DEFINED ENV{PICO_SDK_FETCH_FROM_GIT_PATH} AND (NOT PICO_SDK_FETCH_FROM_GIT_PATH))
    set(PICO_SDK_FETCH_FROM_GIT_PATH $ENV{PICO_SDK_FETCH_FROM_GIT_PATH})
    message("Using PICO_SDK_FETCH_FROM_GIT_PATH from environment ('${PICO_SDK_FETCH_FROM_GIT_PATH}')")
endif ()

set(PICO_SDK_PATH "${PICO_SDK_PATH}" CACHE PATH "Path to the PICO SDK")
set(PICO_SDK_FETCH_FROM_GIT "${PICO_SDK_FETCH_FROM_GIT}" CACHE BOOL "Set to ON to fetch copy of PICO SDK from git if not otherwise locatable")
set(PICO_SDK_FETCH_FROM_GIT_PATH "${PICO_SDK_FETCH_FROM_GIT_PATH}" CACHE FILEPATH "location to download SDK")

if (NOT PICO_SDK_PATH)
    if (PICO_SDK_FETCH_FROM_GIT)
        include(FetchContent)
        set(FETCHCONTENT_BASE_DIR_SAVE ${FETCHCONTENT_BASE_DIR})
        if (PICO_SDK_FETCH_FROM_GIT_PATH)
            get_filename_component(FETCHCONTENT_BASE_DIR "${PICO_SDK_FETCH_FROM_GIT_PATH}" REALPATH BASE_DIR "${CMAKE_SOURCE_DIR}")
        endif ()
        FetchContent_Declare(
                pico_sdk
                GIT_REPOSITORY https://github.com/raspberrypi/pico-sdk
                GIT_TAG master
        )
        if (NOT pico_sdk)
            message("Downloading PICO SDK")
            FetchContent_Populate(pico_sdk)
            set(PICO_SDK_PATH ${pico_sdk_SOURCE_DIR})
        endif ()
        set(FETCHCONTENT_BASE_DIR ${FETCHCONTENT_BASE_DIR_SAVE})
    else ()
        message(FATAL_ERROR
                "PICO SDK location was not specified. Please set PICO_SDK_PATH or set PICO_SDK_FETCH_FROM_GIT to on to fetch from git."
                )
    endif ()
endif ()

get_filename_component(PICO_SDK_PATH "${PICO_SDK_PATH}" REALPATH BASE_DIR "${CMAKE_BINARY_DIR}")
if (NOT EXISTS ${PICO_SDK_PATH})
    message(FATAL_ERROR "Directory '${PICO_SDK_PATH}' not found")
endif ()

set(PICO_SDK_INIT_CMAKE_FILE ${PICO_SDK_PATH}/pico_sdk_init.cmake)
if (NOT EXISTS ${PICO_SDK_INIT_CMAKE_FILE})
    message(FATAL_ERROR "Directory '${PICO_SDK_PATH}' does not appear to contain the PICO SDK")
endif ()

set(PICO_SDK_PATH ${PICO_SDK_PATH} CACHE PATH "Path to the PICO SDK" FORCE)

include(${PICO_SDK_INIT_CMAKE_FILE})

test.c

#include <stdio.h>
#include "pico/stdlib.h"
#include "hardware/gpio.h"
#include "pico/binary_info.h"

const uint LED_PIN=25;

int main() {

    bi_decl(bi_program_description("This is a test binary."));
    bi_decl(bi_1pin_with_name(LED_PIN,"On-board LED"));

    stdio_init_all();

    gpio_init(LED_PIN);
    gpio_set_dir(LED_PIN, GPIO_OUT);

    while(1) {
        gpio_put(LED_PIN, 0);
        sleep_ms(250);
        gpio_put(LED_PIN,1);
        puts("Hello World\n");
        sleep_ms(1000);
    }
}

Error

So when I run these same commands in my pico-examples folder it works completely fine.

C:\Users\bensl\Desktop\Electronics\Pico\test_project>mkdir build

C:\Users\bensl\Desktop\Electronics\Pico\test_project>cd build

C:\Users\bensl\Desktop\Electronics\Pico\test_project\build>cmake -G "NMake Makefiles" ..
Pico SDK is located at C:/Users/bensl/Desktop/Electronics/Pico/pico-sdk
PICO platform is rp2040.
PICO compiler is
PICO_GCC_TRIPLE defaulted to arm-none-eabi
PICO target board is pico.
Using board configuration from C:/Users/bensl/Desktop/Electronics/Pico/pico-sdk/src/boards/include/boards/pico.h
TinyUSB available at C:/Users/bensl/Desktop/Electronics/Pico/pico-sdk/lib/tinyusb/src/portable/raspberrypi/rp2040; adding USB support.
-- Could NOT find Doxygen (missing: DOXYGEN_EXECUTABLE)
ELF2UF2 will need to be built
-- Configuring done
-- Generating done
-- Build files have been written to: C:/Users/bensl/Desktop/Electronics/Pico/test_project/build

C:\Users\bensl\Desktop\Electronics\Pico\test_project\build>nmake

Microsoft (R) Program Maintenance Utility Version 14.28.29336.0
Copyright (C) Microsoft Corporation.  All rights reserved.

[  1%] Performing configure step for 'ELF2UF2Build'
-- The C compiler identification is MSVC 19.28.29336.0
-- The CXX compiler identification is MSVC 19.28.29336.0
-- Detecting C compiler ABI info
-- Detecting C compiler ABI info - failed
-- Check for working C compiler: C:/Program Files (x86)/Microsoft Visual Studio/2019/BuildTools/VC/Tools/MSVC/14.28.29333/bin/Hostx64/x64/cl.exe
-- Check for working C compiler: C:/Program Files (x86)/Microsoft Visual Studio/2019/BuildTools/VC/Tools/MSVC/14.28.29333/bin/Hostx64/x64/cl.exe - broken
CMake Error at C:/Program Files/CMake/share/cmake-3.19/Modules/CMakeTestCCompiler.cmake:66 (message):
  The C compiler

    "C:/Program Files (x86)/Microsoft Visual Studio/2019/BuildTools/VC/Tools/MSVC/14.28.29333/bin/Hostx64/x64/cl.exe"

  is not able to compile a simple test program.

  It fails with the following output:

    Change Dir: C:/Users/bensl/Desktop/Electronics/Pico/test_project/build/elf2uf2/CMakeFiles/CMakeTmp

    Run Build Command(s):nmake /nologo cmTC_bce2f\fast &&       "C:\Program Files (x86)\Microsoft Visual Studio\2019\BuildTools\VC\Tools\MSVC\14.28.29333\bin\Hostx64\x64\nmake.exe"  -f CMakeFiles\cmTC_bce2f.dir\build.make /nologo -L                  CMakeFiles\cmTC_bce2f.dir\build
    Building C object CMakeFiles/cmTC_bce2f.dir/testCCompiler.c.obj
        C:\PROGRA~2\MICROS~1\2019\BUILDT~1\VC\Tools\MSVC\1428~1.293\bin\Hostx64\x64\cl.exe @C:\Users\bensl\AppData\Local\Temp\nm3FF1.tmp
    testCCompiler.c
    Linking C executable cmTC_bce2f.exe
        "C:\Program Files\CMake\bin\cmake.exe" -E vs_link_exe --intdir=CMakeFiles\cmTC_bce2f.dir --rc=C:\PROGRA~2\WI3CF2~1\10\bin\100183~1.0\x86\rc.exe --mt=C:\PROGRA~2\WI3CF2~1\10\bin\100183~1.0\x86\mt.exe --manifests -- C:\PROGRA~2\MICROS~1\2019\BUILDT~1\VC\Tools\MSVC\1428~1.293\bin\Hostx64\x64\link.exe /nologo @CMakeFiles\cmTC_bce2f.dir\objects1.rsp @C:\Users\bensl\AppData\Local\Temp\nm407E.tmp
    LINK Pass 1: command "C:\PROGRA~2\MICROS~1\2019\BUILDT~1\VC\Tools\MSVC\1428~1.293\bin\Hostx64\x64\link.exe /nologo @CMakeFiles\cmTC_bce2f.dir\objects1.rsp /out:cmTC_bce2f.exe /implib:cmTC_bce2f.lib /pdb:C:\Users\bensl\Desktop\Electronics\Pico\test_project\build\elf2uf2\CMakeFiles\CMakeTmp\cmTC_bce2f.pdb /version:0.0 /machine:x64 /debug /INCREMENTAL /subsystem:console kernel32.lib user32.lib gdi32.lib winspool.lib shell32.lib ole32.lib oleaut32.lib uuid.lib comdlg32.lib advapi32.lib /MANIFEST /MANIFESTFILE:CMakeFiles\cmTC_bce2f.dir/intermediate.manifest CMakeFiles\cmTC_bce2f.dir/manifest.res" failed (exit code 1104) with the following output:
    LINK : fatal error LNK1104: cannot open file 'kernel32.lib'
    NMAKE : fatal error U1077: '"C:\Program Files\CMake\bin\cmake.exe"' : return code '0xffffffff'
    Stop.
    NMAKE : fatal error U1077: '"C:\Program Files (x86)\Microsoft Visual Studio\2019\BuildTools\VC\Tools\MSVC\14.28.29333\bin\Hostx64\x64\nmake.exe"' : return code '0x2'
    Stop.





  CMake will not be able to correctly generate this project.
Call Stack (most recent call first):
  CMakeLists.txt:2 (project)


-- Configuring incomplete, errors occurred!
See also "C:/Users/bensl/Desktop/Electronics/Pico/test_project/build/elf2uf2/CMakeFiles/CMakeOutput.log".
See also "C:/Users/bensl/Desktop/Electronics/Pico/test_project/build/elf2uf2/CMakeFiles/CMakeError.log".
NMAKE : fatal error U1077: 'echo' : return code '0x1'
Stop.
NMAKE : fatal error U1077: '"C:\Program Files (x86)\Microsoft Visual Studio\2019\BuildTools\VC\Tools\MSVC\14.28.29333\bin\Hostx64\x64\nmake.exe"' : return code '0x2'
Stop.
NMAKE : fatal error U1077: '"C:\Program Files (x86)\Microsoft Visual Studio\2019\BuildTools\VC\Tools\MSVC\14.28.29333\bin\Hostx64\x64\nmake.exe"' : return code '0x2'
Stop.

the problem is here: -- The C compiler identification is MSVC 19.28.29336.0

The compiler should be arm_none_eabi_gcc. I have the same problem, I don't know how to change this yet.