The Mupen64Plus Build Environment is software to compile and develop Mupen64Plus from Windows. It comes with all of the requirements of Mupen64Plus, including GCC 4, zlib, libPNG, libiconv, GTK, Pango, SDL, w32API, and more. It should build Mupen64Plus For Windows out of the box, but the Windows compatible version of Mupen64Plus is currently on a branch of the project's SVN, not in the main code.
If you wish to build Mupen64Plus for a Windows machine, this is the way to go. This project is only for Windows, however. If you wish to have a build environment like this for a Linux machine, you must manually download and compile the sources of all of the packages with the correct build options. (There are scripts to build MinGW with GCC 4 and SDL - I may provide a specialized version here, some day.)
So, You want to try the Build Environment? We have compiled an NSIS setup that will guide you through the process. It will install everything you need.
Mupen64Plus Build Environment
I also maintain a Windows port build, for those who do not care if they are at the tip of the bleeding edge or not.
Mupen64Plus-Win32.7z