why we have run make.sh file initially in darknet and YOLO object detection?
I know what is cython and make (but I never use YOLO!)

Cython is a C-extension for python. It allows you to write code C/C++ in a python script. (use for very fast program execution)

Make is command which executes your makefile. You can consider makefile is a build script to create/tune the necessary things like environment/folders/.. etc.