Building in Windows is relatively complicated because its compilers and libraries are rather different, and also because it lacks several tools that have to be installed separately. Before proceeding you have to install the following software:
For software development I also recommend installing Emacs, which integrates nicely with both cygwin and the MSVC compiler, and for which there are instructions also in this page.
Once this software is installed, I recommend following these steps:
If you want to rely on Windows for developing and testing software (I personally do, because my laptop runs Windows), it would be convenient to make your system a bit more Unix-like. Some hints: