First download and install Cygwin (http://cygwin.com/setup.exe), installing packages listed below in addition to standard development ones such as make, sed, bash, etc. I personally, install absolutely all the packages available from my local cygwin mirror. I use cygwin (and the cygwin mingw package) because cygwin packages are more up to date than msys ones.

In the list below, software marked with * are probably not available in cygwin (gnuwin32 packages are marked with @), everything else is, so its best to use it. Where possible, I've indicated what to download (inc versions I used) and what to do to make non-cygwin stuff available during the build.

For downloading the source code and other software, you'll need wget. For unpacking the source code, you'll need tar, gzip, bzip2 and unzip. For adding the xchm icons to the exe, you'll need png2ico* and imagemagick to convert xpm to png (you can use anything for this, inc IrfanView or even Win32 Gimp). For compressing the resulting exe, you will need upx. For image support, you'll need to download the developer stuff for zlib@, libpng@, libjpeg@, libtiff@ and libgw32c@ from the gnuwin32 project.

Please report any problems you find to the xchm mailing list rather than the bug tracking system, since problems are more likely to be my fault. Of course, if you find the same problem under your GNU/Linux build, please feel free to use the BTS.

Run the following script from the cygwin shell (updating wget lines for newer software):

export BUILD_LOCATION=/h/home/pabs/devel/xchm    # FOR EXAMPLE
cd $BUILD_LOCATION

wget -c http://heanet.dl.sourceforge.net/sourceforge/libunicows/libunicows-1.1.1-mingw32.zip
wget -c http://www.winterdrache.de/freeware/png2ico/data/png2ico-win-2002-12-08.zip
wget -c http://heanet.dl.sourceforge.net/sourceforge/gnuwin32/libpng-1.2.8-lib.zip
wget -c http://heanet.dl.sourceforge.net/sourceforge/gnuwin32/tiff-3.7.4-lib.zip
wget -c http://heanet.dl.sourceforge.net/sourceforge/gnuwin32/libjpeg-6b-lib.zip
wget -c http://heanet.dl.sourceforge.net/sourceforge/gnuwin32/zlib-1.2.3-lib.zip
wget -c http://heanet.dl.sourceforge.net/sourceforge/gnuwin32/libgw32c-0.4-lib.zip
wget -c http://heanet.dl.sourceforge.net/sourceforge/wxwindows/wxMSW-2.6.2.zip
wget -c http://66.93.236.84/~jedwin/projects/chmlib/chmlib-0.37.4.tbz
wget -c http://heanet.dl.sourceforge.net/sourceforge/xchm/xchm-1.2.tar.gz

export PREFIX="$BUILD_LOCATION/install"
export ACLOCAL_FLAGS="-I $PREFIX/share/aclocal/"
export LDFLAGS="-L$PREFIX/lib -mno-cygwin -mwindows"
export CPPFLAGS="-I$PREFIX/include -mno-cygwin -mwindows"
export CFLAGS="-I$PREFIX/include -mno-cygwin -mwindows"
export CXXFLAGS="-I$PREFIX/include -mno-cygwin -mwindows"
export PATH="$PREFIX/bin:$PATH"

mkdir -p install/bin install/include install/lib install/share/aclocal install/share/doc
unzip -o libunicows-*-mingw32.zip
cp -f libunicows-*-mingw32/libunicows.a $PREFIX/lib
unzip -o png2ico-win-*.zip
cp png2ico/png2ico.exe $PREFIX/bin
cd install && unzip -o ../libpng-*-lib.zip && cd ..
cd install && unzip -o ../tiff-*-lib.zip && cd ..
cd install && unzip -o ../libjpeg-*-lib.zip && cd ..
cd install && unzip -o ../zlib-*-lib.zip && cd ..
cd install && unzip -o ../libgw32c-*-lib.zip && cd ..

unzip -o wxMSW-*.zip
cd wxWidgets*/
./configure --disable-precomp-headers --enable-unicode --enable-static --disable-shared --disable-debug_flag --disable-debug_info --with-msw --enable-optimise --prefix=$PREFIX --enable-treectrl --enable-universal
make
make install
cd ..

tar jxf chmlib-*.tbz
cd chmlib-*/
CFLAGS="-DWIN32 $CFLAGS" CXXFLAGS="-DWIN32 $CXXFLAGS" LDFLAGS="-DWIN32 $LDFLAGS" ./configure --enable-static --disable-shared --prefix=$PREFIX
sed -i -e 's/__int64/long long/gi' src/chm_lib.h
sed -i -e 's/#elif defined(WIN32)/#endif\
#if defined(WIN32)/gi' src/chm_lib.c
make
make install
cd ..

export XCHM_VERSION=`ls xchm-*.tar.gz | sed -e 's/^xchm-\([0-9.]*\)\.tar.gz/\1/gi'`
tar zxf xchm-*.tar.gz
CFLAGS="-DWIN32 $CFLAGS" CXXFLAGS="-DWIN32 $CXXFLAGS" LDFLAGS="-DWIN32 wxrc.o $LDFLAGS" ./configure  --enable-static --disable-shared --prefix=$PREFIX
make
cd src
strip src/xchm.exe
upx src/xchm.exe

clean:
cd $BUILD_LOCATION
rm -rf install libunicows-*-mingw32/ png2ico/ wxWidgets*/ chmlib-*/ xchm-*/