Take a look at Windows Build Instructions By Matt Corallo, it's outdated, but has some additional comments to the included doc.
Note that the reason for using the binary miniupnpc release is that I
was unable to get it to build on my system.
Add C:\MinGW\bin to your PATH environment variable (Google is your
friend as it depends on your Windows Version).
In the DOS Shell:
mingw32-make -f makefile.gcc
\bjam\bjam.exe toolset=gcc --build-type=complete stage
In the msys Shell (MinGW shell in your start folder or
perl util/mkdef.pl 32 libeay enable-static-engine > libeay32.def
dllwrap --dllname libeay32.dll --output-lib libeay32.a --def libeay32.def libcrypto.a -lws2_32 -lgdi32
Copy the libeay32.dll file
to the folder where you are building/running bitcoin.
sh ../dist/configure --enable-mingw --enable-cxx
If you wish to use git to pull keep a local repository, you'll have to
download msgit from
http://code.google.com/p/msysgit/downloads/detail?name=Git-1.7.4-preview20110204.exe&can=2&q= . Otherwise, you can download the latest zip of bitcoin from
https://github.com/bitcoin/bitcoin/zipball/master In the msys shell,
cd to the unzipped location and
make -f makefile.mingw
Run with ./bitcoin.exe (make sure you have the libeay32.dll in bitcoin