From BlenderWiki

Building Blender 2.5 on Windows

Here you will find the instructions to build Blender 2.5 from svn, based on the compiler (MinGW or Microsoft Visual C++) and the build system (Scons or CMake) of your choice.

• Setting up the build environment
  This will guide you to install the tools needed to build Blender.

Depending on which compiler and build system you've installed, read one of the following tutorial to build Blender.

• Build Blender with Microsoft Visual C++ and Scons

• Build Blender with Microsoft Visual C++ and CMake

• Build Blender with MinGW and Scons

• Build Blender with MinGW and CMake