Leapfrogging from the comment by Erin Anne and the answer by Woody.
Using raw, unprocessed Martian regolith will most likely not be successful as Woody states in his answer. However, with preprocessing of the regolith to remove the unwanted silicates and concentrate the desired iron based and sulfide based minerals it appears a product that could be melted by microwaves could be produced. Experimentation would be required.
Firstly, regolith is not of uniform size distribution, it contains material that will range in size from a speck of dust to pebbles and boulders. Use a screen to remove the large items, picking a number, say anything above 10 mm.
Everything which is sized below 10 mm is crushed and then ground to produce a powder of size, picking a number, 1 mm.
Using a batch of cyclones, in series and the atmospheric air as the transporation medium, each cyclone can take the heavier underflow from the previous cyclone and concentrate the heavier minerals and thus remove the lighter silicates in a staged process.
The final product will have a larger contraction of iron and sulfides than the unprocessed regolith. It can then undergo additional processing, if required, and if possible, to remove other unwanted minerals. The end product can then be zapped with microwaves to bake a brick.
Other equipment that could be trialed, with or without cyclones, are Reichert Cones or Gravity Spirals, but I envisage cyclone would most likely be more successful.
Alternatively, if what you want is magnetic then magnetic separation techniques could be used to separate the magnetic minerals from the non magnetic ones using devices similar to what is used in mineral sands processing and the processing of some rare earth minerals.
The simplest methods, used to separate magnetic mineral sands uses a magnetic roller at the end of a conveyor belt. The magnetic mineral stay close to the roller and the belt and fall off close to the roller. The non magnetic minerals fly off the end of the conveyor belt onto a pile farther away from the roller.