Get [http://sourceforge.net/projects/mingw/ MinGW], [http://www.mingw.org/wiki/msys MSYS], [http://sourceforge.net/projects/mingw/files/MinGW_API_for_MS-Windows/ w32api], [http://sourceforge.net/projects/mingw/files/ binutils] and install them (this may not be a comprehensive list but start with MinGW and execute the install package and try to add gcc etc. - the tar packages you just unpack to c:\mingw). Then open MSYS prompt, go to the dir where you unpacked GDAL, and issue commands (but see below for configure switches):

{{{
./configure
make
make install
}}}

And you should have libgdal-1.dll in your c:\msys\1.0\local\bin and libgdal-1.dll.a in c:\msys\1.0\local\lib. 

'''linking:'''

Edit libtool at line 6114 to sed out the MSYS-anchored absolute path and replace it by a relative path or possibly a Windows drive-based absolute path.

or

Edit GNUmakefile on lines 6-12 and replace $(GDAL_ROOT) with . (a dot).

'''expat:'''

By default configure tries to add support for Expat. To enable it, use configure switch --with-expat=/c/mingw, get libexpat.dll and create an import library into /c/mingw/lib with commands (in mingw\bin):

{{{
pexports libexpat.dll | perl def.pl >libexpat.def
dlltool -d libexpat.def -l ..\lib\libexpat.dll.a
}}}

where def.pl is a small perl program to add an underscored alias:

{{{
while (<STDIN>) {
    $a = $_;
    print $_;
    if (/^XML/) {
        chomp;
        s/\r//;
        print '_'."$_ = $a";
    }
}
}}}

See also http://trac.osgeo.org/gdal/ticket/2050, i.e., patch configure with 
{{{
#expat_lib_flags="-L$expat_prefix/lib -lexpat"
LIBS="$LIBS -L$expat_prefix/lib -lexpat"
}}}
before 
{{{
run_expat_test="yes"
}}}
in configure.

'''GTK+:'''

If you have a development version of GTK+ installed, its (old) libtiff may confuse the building. It is best to use --with-libtiff=internal and move tiff headers and libraries away from sight.

configure detects GTK+ provided libz, libpng and libjpeg but in compile time zlib.h etc are not found. This correct way to fix this is probably to use --with-jpeg=/c/gtk/include --with-libz=/c/gtk/include --with-png=/c/gtk/include.

'''PostgreSQL and PostGIS:'''

I've successfully used 

--with-pg=/c/Progra~1/PostgreSQL/8.2/bin/pg_config

'''Wide functions (UTF8 filenames)'''

Currently you need to manually define {{{__MSVCRT_VERSION__=0x0601}}} to get wide function support that's built into cpl_vsil_win32.cpp for example in CFLAGS in GDALmake.opt.

'''Misc:'''

see this: http://lists.osgeo.org/pipermail/gdal-dev/2010-October/026310.html

also, in my environment cpl_config.h does not get correctly created for some reason now, working defines are

{{{
#define PACKAGE_NAME ""
#define PACKAGE_TARNAME ""
#define PACKAGE_VERSION ""
#define PACKAGE_STRING ""
#define PACKAGE_BUGREPORT ""
#define PACKAGE_URL ""
#define STDC_HEADERS 1
#define HAVE_SYS_TYPES_H 1
#define HAVE_SYS_STAT_H 1
#define HAVE_STDLIB_H 1
#define HAVE_STRING_H 1
#define HAVE_MEMORY_H 1
#define HAVE_STRINGS_H 1
#define HAVE_INTTYPES_H 1
#define HAVE_STDINT_H 1
#define HAVE_UNISTD_H 1
#define LT_OBJDIR ".libs/"
#define STDC_HEADERS 1
#define HAVE_ASSERT_H 1
#define HAVE_FCNTL_H 1
#define HAVE_UNISTD_H 1
#define HAVE_STDINT_H 1
#define HAVE_LIMITS_H 1
#define HAVE_LOCALE_H 1
#define HAVE_VALUES_H 1
#define HAVE_FLOAT_H 1
#define HAVE_ERRNO_H 1
#define HAVE_DIRECT_H 1
#define HAVE_LONG_LONG 1
#define UNIX_STDIO_64 1
#define VSI_LARGE_API_SUPPORTED 1
#define VSI_FTELL64 ftello64
#define VSI_FSEEK64 fseeko64
#define VSI_STAT64 _stat64
#define VSI_STAT64_T __stat64
#define VSI_FOPEN64 fopen64
#define SIZEOF_INT 4
#define SIZEOF_UNSIGNED_LONG 4
#define SIZEOF_VOIDP 4
#define HAVE_IEEEFP 1
#define HOST_FILLORDER FILLORDER_LSB2MSB
#define HAVE_VPRINTF 1
#define HAVE_SNPRINTF 1
#define HAVE_VSNPRINTF 1
#define HAVE_ATOLL 1
#define HAVE_STRTOF 1
#define HAVE_GETCWD 1
#define HAVE_DECL_STRTOF 1
}}}