This is an old revision of the document!
Running win-builds on windows can be done through IDEs, MSYS, Cygwin or without any other toolset. Simply download and run the package manager.
Installation doesn't change system settings and in particular 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.
More information can be found in the documentation; make sure you subscribe at least to the (security) announces mailing-list.
NOTE: the 64 bits toolchain requires a 64 bits host; installing on Windows XP or 2003 might work but is unsupported.
No fully cross-distribution binaries can be realistically provided on Linux. As such the process is slightly longer and on a separate page in the documentation.
The process should take around 5 minutes of user time and from 15 to 60 minutes of CPU time (modern desktop to Atom-class notebook).
For quick tests, you can download a virtual machine and run it under one of QEMU, VirtualBox or VMWare.
The machine is a Ubuntu 14.04 with little software installed.
It shall be possible to use win-builds on other systems too even if this has not been tried so far. The main requirement is a POSIX system with a GNU userspace (sed, cp, etc.). Building will follow the steps in the documentation for Linux.