After several VMs, I finally got bitcoin to build properly on Windows. To avoid others having to go through that, I zipped up all the folders in a --lzma tar and posted them here
. If you unzip the tar to C:, you should be able to open the msys/1.0/msys.bat file, cd to ~/Administrator/bitcoin and make -f makefile.mingw without any problems.
This includes all the built sources for all the dependencies of the mainline bitcoin client. After you have built it, you can find it in C:/msys/1.0/home/Administrator/bitcoin/bitcoin.exe.
openssl is actually openssl-1.0.0d, but the makefile looks for it in 1.0.0c, so the folder was renamed. To make openssl, you will need to install perl, I used ActiveState Perl which seemed to work well.
To use git, you need to run /c/Git/bin/git.exe.
Untarred, the folders total somewhere around 4.75GB (the archive is 450MB).
Yes, I could have cleaned them up and only included sources, but I've seen identical installs fail on different version, so everything is included.
I built the system on Windows Server 2003 32-bit and tested building bitcoin on Windows 7 32-bit. That said, I make no guarantees that this works ever, anywhere (and would be surprised if it did). EDIT:
If you really want to build your own copy of everything from the ground up, see http://bitcointalk.org/index.php?topic=5851.msg86700#msg86700