I don't have everything done yet, but I was trying to install it under Win98, hoping that 98 was similar enough to NT and 2000 that I could make it work. I got as far as compiling Postgres with Cygwin, and almost making Postgres work, before I got better access to Linux boxes on the net and thus making it work on Windows was lower-priority for me. If it'll help someone else, I'll gladly try to resurrect what I learned in making it work.
One of the finest places to start seems to be Kevin Lo's "Porting PostgreSQL to Windows NT installation procedures" (available at http://people.FreeBSD.org/~kevlo/postgres/portNT.html ). Combining the step by step instructions in there with some research into understanding how Cygwin works (I forget where I learned it, but will track it down later and post to this thread) was where I finished. I was temporarily stuck on Kevin's step 3 of "Install Cygwin", because I was getting an error trying his mount command. I think I learned that all I needed to do was issue the mount command, then not worry about the error, but close the cygwin window and restart it, because cygwin would save the state, but I can't swear to it at the moment.
More later, when I am not falling asleep