With thanks to Thomas Chust, here is the build overview.

* Install a fresh Windows XP and all available system updates in a virtual machine

* Add C:/Programme/MinGW/bin, C:/Programme/CHICKEN/bin and C:/Programme/IUP to the system path

* Download and unzip mingw-get 0.1 alpha 5 into C:/Programme/MinGW

* Run `mingw-get install mingw-developer-toolkit mingw32-gcc msys-bash` in a Windows shell

* Download and unzip CHICKEN 4.6.3

* Run `make PLATFORM=mingw-msys PREFIX=C:/Programme/CHICKEN` and `make PLATFORM=mingw-msys PREFIX=C:/Programme/CHICKEN install` in an MSYS shell inside the CHICKEN source directory.

* Download and unzip ffcall 1.10

* Run `./configure --prefix=C:/Programme/CHICKEN`, `make` and `make install` in an MSYS shell in the ffcall source directory

* Download and unzip IM 3.6.3, CD 5.4.1 and IUP 3.3 into C:/Programme/IUP

* Delete all Lua related files from C:/Programme/IUP and C:/Programme/IUP/include — who needs lua if you can have CHICKEN? ;-)

* Checkout the trunk version of the IUP egg from https://code.call-cc.org/svn/chicken-eggs/release/4/iup/trunk

* Run `CSC_OPTIONS='-IC:/Programme/IUP/include -LC:/Programme/IUP' chicken-install -D no-library-checks` in an MSYS shell in the IUP egg source directory

* Run `csi -R iup -e '(let ([dlg (dialog #:title "Test" (button "Push me!" #:action print))]) (show dlg #:modal? #t))'` to verify the installation works