hedwards: Windows tends to be less friendly in that regards than Linux. I've always had an issue getting a compiler set up properly on Windows, but I'm not usually interested enough to work through the bugs.
Gremmi: Yeah, would agree with that. It was quite the hassle getting it working. Would only recommend it on Windows if you're dedicated. Or really bored.
Though another advantage I didn't mention is that by compiling from an SVN version you'll often get bugfixes and improvements that don't exist in the release version (and considering it hasn't had an official new release for nearly two years, there's a lot fixed).
Once you've got it set up it tends to work great.
Even though this project turned out to be mostly pointless, I do know that there are going to be times when I'm going to be using it anyways for the nostalgia. There's something about booting into DOS and loading up a classic like Commander Keen, Doom or Secret Agent Man.
Although it's not quite the original experience as you don't typically have to spend hours finagling the bytes of RAM into himem or xms.