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Running win-builds on windows can be done through IDEs, MSYS, Cygwin or without any other toolset. Simply download and run the package manager.
More information can be found in the documentation; make sure you subscribe at least to the (security) announces mailing-list.
Installation doesn't alter system settings; in particular it doesn't change environment variables like PATH, PKG_CONFIG_PATH and PKG_CONFIG_LIBDIR.
For MSYS or Cygwin, also read how to switch to the toolchain you want.
The 64 bits toolchain requires a 64 bits host.
Installing on Windows XP or 2003 might work but is unsupported.