Download and install Cygwin(including MinGW) and libunicows.a:
http://www.cygwin.org/ and http://libunicows.sf.net/
Download chmlib, wxWidgets 2.5 and xchm:
http://66.93.236.84/~jedwin/projects/chmlib/
http://wxwidgets.org/
http://xchm.sf.net/

For adding the xchm icons to the exe:
png2ico - http://www.winterdrache.de/freeware/png2ico/
And something to convert xpm to png.
I used imagemagick from my cygwin install.
You can use anything for this, inc IrfanView or even Win32 Gimp.

For compressing the resulting exe, you will need upx.
I used the one from my cygwin install.

Create a /usr/local and /usr/local/include that any user can write to.
This makes it simpler to build xchm, otherwise you will have to run cgywin as admin to make install

Problems:
I can't figure out how to get wxWidgets to compile its builtin libpng/libjpeg/libtiff into itself so there are no errors when linking xchm. If people know how to get it working, please say so.

Run these from a shell:
 
cd <DOWNLOAD LOCATION>
unzip wxMSW-*.zip
cd wxWidgets*/
CFLAGS="-mno-cygwin -mwindows -I/usr/local/include" CXXFLAGS="-mno-cygwin -mwindows -I/usr/local/include" LDFLAGS="-mno-cygwin -mwindows -L/usr/local/lib" ./configure --enable-unicode --enable-static --disable-shared --disable-debug_flag --disable-debug_info --with-msw --enable-optimise --without-libpng --without-libjpeg --without-libtiff
sed -i -e 's!#define HAVE_FNMATCH_H 1!/* #undef HAVE_FNMATCH */!g' ./lib/wx/include/msw-unicode-release-static-2.5/wx/setup.h
make
make install
cd ..
tar jxf chmlib-*.tbz
cd chmlib-*/
CFLAGS="-DWIN32 -mno-cygwin -mwindows -I/usr/local/include" CXXFLAGS="-DWIN32 -mno-cygwin -mwindows -I/usr/local/include" LDFLAGS="-DWIN32 -mno-cygwin -mwindows -L/usr/local/lib" ./configure --enable-static --disable-shared
sed -i -e 's/#elif defined(WIN32)/#endif\
#if defined(WIN32)/gi' src/chm_lib.c
make
make install
cd ..
tar zxf xchm-*.tar.gz
cd xchm-*/
for n in 16 32 48 128 ; do
	convert art/xchm-$n.xpm xchm-$n.png || echo 'ImageMagick not installed, maybe try irfanview or the gimp instead :)' 
done
png2ico xchm.ico xchm-16.png xchm-32.png xchm-48.png xchm-128.png || echo 'png2ico may not work from MYS, try in cygwin or a dos/cmd.exe prompt'
mv -f xchm.ico /tmp
pushd .
cd ../wxWidgets*/include/
mv -f /tmp/xchm.ico .
sed -i -e 's!// Default Icons!101               ICON    DISCARDABLE     "xchm.ico"!gi' wx/msw/wx.rc
sed -i -e 's!^wxICON_!//wxICON_!gi' wx/msw/wx.rc
windres wx/msw/wx.rc /tmp/wxrc.o
popd
mv -f /tmp/wxrc.o .
cp -f wxrc.o src/
CFLAGS="-DWIN32 -mno-cygwin -mwindows -I/usr/local/include" CXXFLAGS="-DWIN32 -mno-cygwin -mwindows -I/usr/local/include" LDFLAGS="-DWIN32 -mno-cygwin -mwindows -L/usr/local/lib wxrc.o" ./configure  --enable-static --disable-shared
sed -i -e 's!virtual off_t OnSysTell!virtual wxFileOffset OnSysTell!gi' ./src/chminputstream.h
make
cd src
strip xchm.exe
upx xchm.exe
zip -9 xchm-<version>-win32.zip xchm.exe
echo goddam I miss debian. BILL GATES WILL BURN IN HELL