Take a look at Windows Build Instructions By Matt Corallo, it's outdated, but has some additional comments to the included doc.

Install:

• MinGW Automated Installer from
  http://sourceforge.net/projects/mingw/files/OldFiles/mingw-get-inst/mingw-get-inst-20110316/. Install with the C++ and MSYS options checked.
• Activestate Perl (for building openssl) from
  http://www.activestate.com/activeperl/downloads. You don't need
  anything except ActivePerl and Perl, none of the other fancy crap.
  You do want to add Perl to your PATH (its an option in the
  installer).

Download:

• WxWidgets 2.9.1:
  http://sourceforge.net/projects/wxwindows/files/2.9.1/wxWidgets-2.9.1.zip/download. Unzip to C:\wxWidgets-2.9.1-mgw
• OpenSSL 1.0.0d: http://www.openssl.org/source/openssl-1.0.0d.tar.gz. Untar to C:\openssl-1.0.0c-mgw (yes bitcoin is designed to build with 1.0.0c, but might as well use the latest version since it works right?) Hint: untar using the tar binary which is included in MinGW (do not use 7-zip, it will not handle symlinks correctly) using cd \c\ && tar xvvf\c\Users\Matt\Downloads\openssl-1.0.0d.tar.gz && mv openssl-1.0.0d openssl-1.0.0c-mgw in the msys shell
• Berkeley DB 4.7.25 NC: http://download.oracle.com/berkeley-db/db-4.7.25.NC.zip. Unzip to C:\db-4.7.25.NC-mgw
• Boost 1.43.0:
  http://sourceforge.net/projects/boost/files/boost/1.43.0/boost_1_43_0.zip/download. Unzip to C:\boost-1.43.0-mgw

• Boost Jam:
  http://sourceforge.net/projects/boost/files/boost-jam/3.1.18/boost-jam-3.1.18-1-ntx86.zip/download. Unzip wherever you like, I used C:\bjam

• miniUPnPc binary
  http://miniupnp.tuxfamily.org/files/download.php?file=upnpc-exe-win32-20110215.zip. Unzip to C:\upnpc-exe-win32-20110215

• miniUPnPc source
  http://miniupnp.tuxfamily.org/files/download.php?file=miniupnpc-1.5.20110215.tar.gz. Untar to C:\upnpc-exe-win32-20110215\miniupnpc (you only need *.h, but the others won't hurt) untar with cd \c\upnpc-exe-win32-20110215 && tar xvvf \c\Users\Matt\Downloads\miniupnpc-1.5.20110215.tar.gz && mv miniupnpc-1.5.20110215 miniupnpc

Note that the reason for using the binary miniupnpc release is that I was unable to get it to build on my system.

Add C:\MinGW\bin to your PATH environment variable (Google is your friend as it depends on your Windows Version).

In the DOS Shell:

wxWidgets:

cd \wxWidgets-2.9.1-mgw\build\msw
mingw32-make -f makefile.gcc

Boost:

cd \boost-1.43.0-mgw
\bjam\bjam.exe toolset=gcc --build-type=complete stage

In the msys Shell (MinGW shell in your start folder or C:\MinGW\msys\1.0\msys.bat):

OpenSSL:

cd /c/openssl-1.0.0c-mgw
./config
make
perl util/mkdef.pl 32 libeay enable-static-engine > libeay32.def
dllwrap --dllname libeay32.dll --output-lib libeay32.a --def libeay32.def libcrypto.a -lws2_32 -lgdi32 

Copy the libeay32.dll file to the folder where you are building/running bitcoin.

Berkeley DB:

cd /c/db-4.7.25.NC-mgw/build_unix
sh ../dist/configure --enable-mingw --enable-cxx
make

Bitcoin

If you wish to use git to pull keep a local repository, you'll have to download msgit from http://code.google.com/p/msysgit/downloads/detail?name=Git-1.7.4-preview20110204.exe&can=2&q= . Otherwise, you can download the latest zip of bitcoin from https://github.com/bitcoin/bitcoin/zipball/master In the msys shell, cd to the unzipped location and

make -f makefile.mingw

Run with ./bitcoin.exe (make sure you have the libeay32.dll in bitcoin folder)