I tried doing what you wrote but it didn't work in that the window opened but immediately closed, I wasn't able to even read what was wrong with. After much opening and immediate closing I was able to make out that it basically couldn't recognize what cgminer was (when opening from the .bat file) and when I opened cgminer from the .exe it didn't register any of my devices. Someone in the official cgminer thread suggested i visit overstack.com for more super noob help but if you think of anything please let me know.
If you only want to run CGMiner, not to build it from scratch, just download the binary at
http://ck.kolivas.org/apps/cgminer/cgminer-2.4.3-win32.zip Just continue with Graet's guide next, and make sure the .bat file is at the same dir with the cgminer binaries.