How to make a windows installer for gnuradio-core (including audio)
build and install gnuradio-core (on msys/mingw)
build and install gr-audio-windows
copy the installed gnuradio folder to this folder 
$cp -a /c/Python24/Lib/site-packages/gnuradio ./
copy all required dlls to ./gnuradio/gr
$cp /usr/local/bin/libgnuradio-core-0.dll  ./gnuradio/gr
$cp /usr/local/bin/libfftw3f-3.dll  ./gnuradio/gr
$cp /usr/local/bin/libcppunit-1-10-2.dll ./gnuradio/gr
run the setup script with the argument bdist_wininst
$python setup.py bdist_wininst

Now the windows installer is in the dist folder

The only requirement for installing gnuradio-2.5cvs.win32.exe is an installed Python2.4.1 
(download Python 2.4.1 installer at http://www.python.org/ftp/python/2.4.1/python-2.4.1.msi)