A step by step guide how I managed to compile Postgis in windows XP SP3
This guide assumes that you already have a postgresql-installation on your computer.
You will have to compile postgresql here to, but that is just for the process of compiling postgis.

I have used this installdirectories:
MinGW: c:\MinGW
Msys: c:\msys
sources c:\thesrc
installdirectory for postgresql: c:\postgresql

a good tool for extracting tar-files is 7-zip from www.7-zip.org

1. Installing Minimalist GNU for Windows (MinGW)
Download MinGW autoinstaller (Current - MinGW-5.1.4) from sourceforge.net/project/showfiles.php?group_id=2435

1. Run the setup file and choose everything (except possibly Ada)
2. Accept the default Install location of C:\MinGW

2. Installing Minimal System (Mys)
Msys provides you with a unix shell environment for compiling code under windows
Download Msys downloads.sourceforge.net/mingw/MSYS-1.0.10.exe

1. Say y to post Installation
2. When prompted do you have MinGW -> y
3. When prompted for where it is type -> C:\MinGW

3. Installing Msy Development Toolkit
Download the MysDTK1.0.1 from downloads.sourceforge.net/mingw/msysDTK-1.0.1.exe

1. Run the EXE install and accept all the defaults

4. MSYS Core 1.0.11

1. Download MSYS Core 1.0.11 from ​http://downloads.sourceforge.net/mingw/msysCORE-1.0.11-2007.01.19-1.tar.bz2
   
2. untar them and copy all content to c:\msys\1.0 and and click ok to overwrite existing files and folders.

5. Download and install the following from gnuwin32.sourceforge.net/packages.html

1. Bison, ​http://kent.dl.sourceforge.net/sourceforge/gnuwin32/bison-2.1.exe
2. zlib, ​http://kent.dl.sourceforge.net/sourceforge/gnuwin32/zlib-1.2.3.exe
3. Flex, ​http://kent.dl.sourceforge.net/sourceforge/gnuwin32/flex-2.5.4a-1.exe
4. GetText, ​http://kent.dl.sourceforge.net/sourceforge/gnuwin32/gettext-0.14.4.exe
5. LibIconv, ​http://kent.dl.sourceforge.net/sourceforge/gnuwin32/libiconv-1.9.2-1.exe

OBS! Change install directory to c:\mingw

6. update m4

1. download from: downloads.sourceforge.net/mingw/m4-1.4.7-MSYS.tar.bz2
   
2. untar and copy the m4.exe-file in the end of the path to C:\msys\1.0\bin

7. Update environment variable
the below is copied direct from www.mingw.org/wiki/HOWTO_Install_the_MinGW_GCC_Compiler_Suite

---

Environment Settings
When you install command line tools, such as MinGW, or !GnuWin32 tools, you have to tell the command line interpreter where to find them; this is usually accomplished by adding the appropriate directory names to the PATH variable in your environment. Typically, it is your responsibility to do this; please do not expect the installer, (if you used one), to do it for you.
Warning: Adding entries to the PATH is normally benign. However, if you delete, you may mess up your PATH string, and you could seriously compromise the functioning of your computer. Please be careful.

1. Right-click on "My Computer" and select "Properties".
2. Click Advanced -> Environment Variables.
3. In the box entitled "System Variables" scroll down to the line that says "PATH" and double-click the entry.
4. You will be presented with a dialog box with two text boxes, the bottom text box allows you to edit the PATH variable. It is very important that you do not delete the existing values in the PATH string, this will cause all sorts of problems for you!
5. Scroll to the end of the string and at the end add ";<installation-directory>\bin". Here <installation-directory> is the full absolute path name of the installation directory; if you accepted the defaults when installing tar and gzip, then for these, it will (probably) be C:\Program Files\!GnuWin32, while for MinGW it will be C:\MinGW\bin, (if you kept to the recommended default installation directory). Don't forget the semicolon; this separates the entries in the PATH.
6. press OK -> OK -> OK and you are done.

---

Set the environment variable HOME to C:\msys\1.0\home

8. Installing Autoconf, Automake and Libtool
download the sourcecode of :

1. autoconf from ftp.gnu.org/gnu/autoconf
2. automake from ftp.gnu.org/gnu/automake
3. libtool from ftp.gnu.org/gnu/libtool

The latest releases 2009-04-11 is:
autoconf 2.63 (1.4MB)
automake 1.10.2 (1.2MB)
libtool 2.2.4 (1.8MB)

make a folder c:\thesrc and untar the source-files there

Launch MSys from Start->Programs->MinGW->msys
now you get a terminal-window that understands a bunch of unix/linux-commands (at least enough for compiling)
print:

1. cd /c/thesrc
2. ls

Now you will get the fOlders you have copied to the directory listed.
The names of the folders will be different than in this example if you have newer releases of the tools.
move into one of the folders:

3. cd autoconf-2.63

ok, now we are in the directory with the autoconf source-code
print:
ls
if you just see a new folder called autoconf-2.63 you have to go into that one to:
cd autoconf-2.63
when you se a lot of folders like bin and lib and a lot of files, then you are right
now we shall configure and make this tool
print:

4. configure --prefix-/c/mingw && make && make install

now a lot of text shall appear in the window and after a while you will hopefully get no error-messages but jut get back to your prompt.
now go to the other source-code directories and do the same

5. cd .. (backing to the directory c:\thesrc)
6. cd automake-1.10.2
7. configure --prefix-/c/mingw && make && make install

8. cd .. (backing to the directory c:\thesrc)
9. cd libtool-2.2.4
10. configure --prefix-/c/mingw && make && make install

9. Compiling PostgreSQL
Download latest PostgreSQL source from ​http://www.postgresql.org/ftp/source/ and untar in C:\thesrc
move to folder

1. cd /c/thesrc/postgresql-8.3.7 (the version of today)
2. configure --prefix-/c/postgres && make && make install

note that we now have changed the install-directory from mingw to postgres

if you get an error something like:
e:/mingw/bin/../lib/gcc/mingw32/3.4.5/../../../../include/sspi.h:60: error: syntax error before SECURITY_STRING
In file included from e:/mingw/bin/../lib/gcc/mingw32/3.4.5/../../../../include/security.h:39,[[BR]] from libpq-int.h:57,[[BR]] from fe-auth.h:18,[[BR]] from fe-auth.c:48:[[BR]] e:/mingw/bin/../lib/gcc/mingw32/3.4.5/../../../../include/ntsecpkg.h:123: error: syntax error before SECURITY_STRING

the solution is to edit two of the source-files.
In both files:
postgresql-8.3.7/src/include/libpq/libpq-be.h
and
postgresql-8.3.7/src/interfaces/libpq/libpq-int.h:

add a new include-file:
#ifdef ENABLE_SSPI
#define SECURITY_WIN32
#include <ntsecapi.h> <- Add this include
#include <security.h>
#undef SECURITY_WIN32

you can read about this here:
pgolub.wordpress.com/2008/12/15/building-postgresql-client-library-using-mingw-under-winxp-sp3/
and
postgresqlorg.blogspot.com/2008/09/hackers-83-4-vista-mingw-initdb.html

10. Compiling GEOS
Download latest GEOS-source from trac.osgeo.org/geos/ (​http://download.osgeo.org/geos/geos-3.1.0rc2.tar.bz2)[[BR]] Do the same as with postgresql, extract to c:\thesrc
in msys terminal move to the GEOS source-code directory

1. configure --prefix-/c/postgres && make && make install

11. Compiling Proj
Download latest Proj from trac.osgeo.org/proj/ (​http://download.osgeo.org/proj/proj-4.6.1.zip)[[BR]] in msys terminal move to the Proj source-code directory

1. configure --prefix-/c/postgres && make && make install

12. Compiling PostGIS SVN 1.4

1. Download postgis.refractions.net/download/postgis-1.4.0SVN.tar.gz and put in C:/thesrc
2. cd /c/thesrc
3. gzip -d -c postgis-1.4.0SVN.tar.gz | tar xvf -
4. cd postgis-svn
5. configure --prefix=/c/postgresql --with-pgconfig=/c/postgresql/bin/pg_config -with-geosconfig=/c/postgresql/bin/geos-config --with-projdir=/c/postgresql
6. make
7. make install

13. To use your new postgis

1. copy postgis-1.4.dll from C:\postgresql\lib to your windows PostgreSQL lib folder
2. copy C:\postgresql\bin\libgeos-3-1-0.dll and libgeos_c-1.dll to your PostgreSQL bin folder
3. open PGAdmin and make a new database without any template
4. open a new query-window to your new database
5. run postgis.sql and spatial_ref_sys.sql from C:\postgresql\share\contrib\

Hopefully you now have a database running your recently compiled postgis.