A few days ago, I received an e-mail asking how I proceed to compile Solarus under Windows. That’s because the compilation instructions were very incomplete. As I made a quite detailed answer, this problem is fixed: the compilation instructions now explain how I compile Solarus with Windows.
In short, I compile Solarus with Code::Blocks and MinGW32, i.e. in a Unix environment. I don’t use CMake, but it should also work with it. It would also be interesting to try Visual Studio.
Anyway, the hard part is to install all the required libraries. This is not specific to Solarus and I can’t really help you much with that. Any software with dependencies on other libraries is a nightmare to compile with Windows. You must download the headers and the libraries on each website, hoping that the website provides the library in a binary form. If it does not, you have to compile it yourself (or for Windows 32-bit, use the ones I have already compiled for you :)).
With any Linux distribution, downloading and installing the libraries is totally trivial. One command line or one click, as you wish. But if you are using Windows, you probably have a good reason: you like pain challenge! Therefore, why don’t you consider moving to the next step: compile for Mac OS X? This will clearly be another dimension of challenge.
More seriously, what I mean is that installing a Linux distribution in dual-boot next to your Windows system is much, much easier than getting all dependencies right and compiling in Windows.
(And I don’t even talk about Mac OS X - I keep this topic for a future post.)