(Free) Software Building and Packaging For Windows
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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.
Download
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.