I recommend using MSYS from MinGW package and installing all libraries to
c:/MinGW/msys/1.0/local which will equal to /usr/local path in MinGW Shell.
This makes building and installing procedure much easier because we'll be
able to use all the goods of unix world.

I used following versions of libraries and tools on latest  successful build:
SDL 1.2.15
SDL_image 1.2.12
SDL_ttf 2.0.11
Boost 1.48.0
CMake 2.8.9
FreeType 2.4.2
log4cplus 1.0.4.1
Lua 5.1.5
LuaBind 0.9.1
MinGW pre-packaged repository catalogues 20120426
Xerces-C 3.1.1
ZLib 1.2.7

1. MinGW

Choose "C++ Compiler" and "MSYS Basic System" options in installer. I installed
it to default location c:/MinGW.


2. Boost 1.48.0

We have to use Boost 1.48.0 because of incompatibility between Boost 1.49 and GCC 4.6 for Boost.Preprocessor, see https://svn.boost.org/trac/boost/ticket/6631 for details.

$ bootstrap.sh --with-toolset=mingw

# boost's build system lacks mingw.jam so we'll use gcc one, please
# see https://svn.boost.org/trac/boost/ticket/6350 for details
# (please ignore "sed: preserving permissions ..." error)
$ sed -i 's/mingw/gcc/g' project-config.jam

# b2 knows nothing about MSYS so we have to specify install location in Windows terms
$ b2 --without-python --without-mpi --variant=debug,release link=shared threading=multi toolset=gcc install --prefix=d:/MinGW/msys/1.0/local


3. Lua 5.1.5

Lua 5.2 is not yet supported by LuaBind, so we'll use 5.1.5.

Apply following patch to src/Makefile:

107c107
< 	$(MAKE) "LUA_A=lua51.dll" "LUA_T=lua.exe" \
---
> 	$(MAKE) "LUA_A=lua5.1.dll" "LUA_T=lua.exe" \
109c109
< 	"MYCFLAGS=-DLUA_BUILD_AS_DLL" "MYLIBS=" "MYLDFLAGS=-s" lua.exe
---
> 	"MYCFLAGS=-DLUA_DL_DLL -DLUA_BUILD_AS_DLL" "MYLIBS=" "MYLDFLAGS=-s" lua.exe 

$ make mingw install
$ cp src/lua5.1.dll /usr/local/lib/
$ rm /usr/local/lib/liblua.a


4. LuaBind

We have to use default CMD (Windows) shell for this one.

# set paths to Lua, Boost and MinGW (don't forget to change actual values for
# your ones)
> set PATH=%PATH%;c:\MinGW\bin
> set LUA_PATH=c:\MinGW\msys\1.0\local
> set BOOST_ROOT=d:\build\boost_1_48_0

# build and install LuaBind into MSYS
> d:/build/boost_1_48_0/bjam.exe variant=release,debug link=shared threading=multi -j2 toolset=gcc install --prefix=c:/MinGW/msys/1.0/local


5. Xerces-C 3.1

$ ./configure
$ make libxerces_c_la_LDFLAGS="-release 3.1 -no-undefined" install


6. ZLib

$ mingw32-make.exe -f win32/Makefile.gcc BINARY_PATH=/usr/local/bin/ LIBRARY_PATH=/usr/local/lib/ INCLUDE_PATH=/usr/local/include/ install


7. SDL, log4cplus, FreeType, SDL_image, SDL_ttf, CMake

Use standard autotools procedure:
$ ./configure && make install

I used FreeType 2.4.2 because I had problems compiling 2.3.5-1 (stable).
I used 1.0.4.1 because I had problems with newer release candidate versions.
Use configure --prefix=/usr/local for CMake -- it tries to install itself
to Program Files by default.