For how to use the binary distribution see README.mingw-bin

hacks to make it build on mingw:
install msys
install mingw
install updates to mingw/msys
install standard win32 python (python-2.4.1.msi) in a path without spaces (c:\Python24)
install numerical python for win32 (Numeric-23.8.win32-py2.4.exe) as addon to python
install standard win32 swig (swigwin-1.3.24.zip) in a path without spaces (c:\SWIG-1.3.24)
for a reduced wxgui experience with my patched wxgui for gnuradio
install python win32api (pywin32-204.win32-py2.4.exe)
install wxpython for win32 (wxPython2.6-win32-ansi-2.6.0.0-py24.exe) 

unpack patch and build and install fftw 3.01
unpack patch and build and install cppunit
unpack boost (I am not sure if you have to build it, I did, takes a while) in a path without spaces

make sure there are no cygwin executables in your path
make sure swig and python are in your path
make sure all dlls (of python, swig, ...) are on your path

your path during should be something like:
$ echo $PATH                                        
.:/usr/local/bin:/mingw/bin:/bin:/c/Python24/DLLs:/c/Python24/libs:/mingw/fftw/bin:/c/Python24:/c/SWIG-1.3.24:/c/WINNT/system32:/c/WINNT:/c/WINNT/System32/Wbem:.:/c/Program Files/NVIDIA Corporation/Cg/bin

use --with-md-cpu=generic:
the optimized fir code doesn't compile on my mingw/gcc setup so use the generic code. Maybe you are lucky or know how to fix this, please let me know.
Use configure like this:
if you have a recent libtool (>= 1.5.18)
./configure --enable-shared --disable-static --with-md-cpu=generic --with-cppunit-prefix=/mingw/cppunit --with-boost-include-dir=/c/boost_1_32_0/include/boost-1_32 PKG_CONFIG_PATH=/mingw/fftw/lib/pkgconfig PYTHON=/c/Python24/python am_cv_python_pythondir=/c/Python24/Lib/site-packages am_cv_python_pyexecdir=/c/Python24/Lib/site-packages  2>&1 | tee configure.log

If you have the standard (older)libtool of msys:
CONFIG_SITE=./mingw/mingw-config.site ./configure --enable-shared --disable-stat
ic --with-md-cpu=generic --with-cppunit-prefix=/mingw/cppunit --with-boost-include
-dir=/c/boost_1_32_0/include/boost-1_32 PKG_CONFIG_PATH=/mingw/fftw/lib/pkgconf
ig PYTHON=/c/Python24/python am_cv_python_pythondir=/c/Python24/Lib/site-packag
es am_cv_python_pyexecdir=/c/Python24/Lib/site-packages CONFIG_SITE=./mingw/mingw-config.site 2>&1 | tee configure.log

patch ./libtool (after running configure) using ./mingw/libtool_shrext_cmds.patch
or edit the generated libtool
 add shrext_cmds='.dll' right after shrext='.dll'

problems:
build stops with "cannot rename lib_xxxx.a, file exists"
d:\mingw\bin\ar.exe: unable to rename '.libs/libgeneral.a' reason: File exists
restart build and it just continues, I have no idea why this happens


build stops because it cannot find ../../../src/lib/runtime\\runtime.i

in file src/lib/swig/gnuradio_swig_python.d:
replace all \\ by /
(This should now be handles by the make using a sed script)

 Warning: This system can not link to static lib archive ../../../src/lib/libgnuradio-core.la.
*** I have the capability to make that library automatically link in when
*** you link to this library.  But I can only do this if you have a
*** shared version of the library, which you do not appear to have.
*** But as you try to build a module library, libtool will still create 
*** a static module, that should work as long as the dlopening application
*** is linked with the -dlopen flag to resolve symbols at runtime.
ar cru .libs/_gnuradio_swig_python.a .libs/gnuradio_swig_python.o
ranlib .libs/_gnuradio_swig_python.a
creating _gnuradio_swig_python.la
(cd .libs && rm -f _gnuradio_swig_python.la && ln -s ../_gnuradio_swig_python.la _gnuradio_swig_python.la)
./gen-swig-bug-fix gnuradio_swig_python.cc gnuradio_swig_bug_workaround.h
make[5]: Leaving directory `/n/tmp/mingw/mdvhfiles/test/src/lib/swig'
make[4]: Leaving directory `/n/tmp/mingw/mdvhfiles/test/src/lib/swig'
make[3]: Leaving directory `/n/tmp/mingw/mdvhfiles/test/src/lib'
 mv -f ".deps/benchmark_dotprod_ccc.Tpo" ".deps/benchmark_dotprod_ccc.Po"; else rm -f ".deps/benchmark_dotprod_ccc.Tpo"; e

you have an old libtool workaround: 
use CONFIG_SITE=./mingw/mingw-config.site when configuring
in this file the lt_cv_file_magic_cmd is overridden to use objdump -f in stead of the win32_libid ltmain shellscript which needs the file command which standard msys lacks
In more recent libtool (libtool 1.5.18) this is already taken care of in /usr/share/aclocal/libtool.m4
snippet of recent libtool.m4:
mingw* | pw32*)
  # Base MSYS/MinGW do not provide the 'file' command needed by
  # func_win32_libid shell function, so use a weaker test based on 'objdump'.
  lt_cv_deplibs_check_method='file_magic file format pei*-i386(.*architecture: i386)?'
  lt_cv_file_magic_cmd='$OBJDUMP -f'


build makes .exe in stead of .dll
patch ./libtool (after running configure) using ./mingw/libtool_shrext_cmds.patch
or edit the generated libtool
 add shrext_cmds='.dll' right after shrext='.dll'
(This is also not needed with recent libtool)

# Shared library suffix (normally ".so").
shrext='.dll'
shrext_cmds='.dll'

./libtool is regenerated every time you run configure, so you have to patch again if you reconfigure

make complains that you need absolute pathnames (for rpath):
run configure with unix style paths for PYTHON,am_cv_python_pythondir,am_cv_python_pyexecdir,--with-cppunit-prefix=,--with-boost-include-dir=

If the configure script finds these paths for itsself it uses c:/path/to/something style pathnames.
Libtool should be able to recognise these as absolute pathnames but for some reason it doesn't
So you have to override them all with /c/path/to/something style pathnames
examples:
CONFIG_SITE=./mingw/mingw-config.site ./configure --enable-shared --disable-stat
ic --with-md-cpu=generic --with-cppunit-prefix=/mingw/cppunit --with-boost-include
-dir=/c/boost_1_32_0/include/boost-1_32 PKG_CONFIG_PATH=/mingw/fftw/lib/pkgconf
ig PYTHON=/c/Python24/python am_cv_python_pythondir=/c/Python24/Lib/site-packag
es am_cv_python_pyexecdir=/c/Python24/Lib/site-packages CONFIG_SITE=./mingw/mingw-config.site 2>&1 | tee configure.log



 CONFIG_SITE=./config_gnuradio.site ./configure --enable-shared --disable-stat
ic --with-md-cpu=generic --with-cppunit-prefix=/mingw/gtk2 --with-boost-include
-dir=/d/boost_1_32_0/include/boost-1_32 PKG_CONFIG_PATH=/mingw/gtk2/lib/pkgconf
ig PYTHON=/d/Python24/python am_cv_python_pythondir=/d/Python24/Lib/site-packag
es am_cv_python_pyexecdir=/d/Python24/Lib/site-packages CONFIG_SITE=./config_gn
uradio.site  2>&1 | tee configure6.log

 CONFIG_SITE=./mingw/mingw-config.site ./configure --enable-shared --disable-stat
ic --with-md-cpu=generic --with-cppunit-prefix=/mingw/gtk2 --with-boost-include
-dir=/d/boost_1_32_0/include/boost-1_32 PKG_CONFIG_PATH=/mingw/gtk2/lib/pkgconf
ig PYTHON=/d/Python24/python am_cv_python_pythondir=/d/Python24/Lib/site-packag
es am_cv_python_pyexecdir=/d/Python24/Lib/site-packages CONFIG_SITE=./mingw/mingw-config.site  2>&1 | tee configure7.log



./configure  --enable-shared --disable-static --with-md-cpu=generic --with-cppunit-prefix=/mingw/gtk2 --with-boost-include-dir=/d/boost_1_32_0/include/boost-1_32 PKG_CONFIG_PATH=/mingw/gtk2/lib/pkgconfig PYTHON=/d/Python24/python am_cv_python_pythondir=/d/Python24/Lib/site-packages am_cv_python_pyexecdir=/d/Python24/Lib/site-packages 2>&1 | tee configure7.log