From BlenderWiki

Build environment

Install the following:

• Your compiler of choice:
  • Visual Studio 2008
    • VS 2010 is the current release, but not supported. Look for the 2008 tab from Microsoft
    • Visual C++ 2008 Feature Pack may be required, included in SP1
  • VC++ Express 2008
    • Still can be downloaded from VS2008 SP1. (Thanks [1])
    • Free-as-in-beer, 32-bit only
    • Compiling 64-bit on Windows requires a 64-bit version of windows and some hacking described here
  • MinGW
    • Important: Use the latest mingw-get-inst with latest packages. Make sure you have at least gcc 4.6.1
    • Free-as-in-speech, 32-bit only
    • During install enable the C++ Compiler option
    • Optionally you can enable MSYS Basic System to get a unix-like shell environment
  • MinGW-w64
    • Important: Only this build is currently supported, which is gcc 4.7.0
    • Also free-as-in-speech, 32-bit and 64-bit versions available, however only the 64-bit version is supported for building Blender
    • Once the archive is downloaded, extract it to an easily remembered directory, such as C:\MinGW64

• Your (meta) build system of choice:
  • For CMake download the installer
  • For SCons you need Python 2.7.*
    • SCons itself is included in Blender sources
    • Python 3.2 dependencies for Blender itself are included in lib/windows
    • Optionally, with pywin32 installed, you can speed up the build process

• A Subversion client (or both):
  • SlikSVN if you just want a command line SubVersion. This is needed in the Blender compiling process, see box below
  • TortoiseSVN for an easy to use GUI, with Windows Explorer integration
  • Cygwin unix environment has an SVN package available.