People have had some limited success with MinGW, and it's getting better all the time so I think that's the way to go for windows compilation. It "just" needs to sort out the remaining quirks and odds and ends, if I'm not mistaken. Personally I don't have any experience of that, though.
The old method is admittedly exceedingly complex (and slow too). It has its roots in another era.. Once MinGW proves reliable it'll probably replace sprshd as the normal way of compilation, but unless MinGW can use the MS compiler, or at least the MS runtime lib, it'll probably stay around.
If you have the time and will, you're more than welcome to give it a shot with MinGW. It'd be very appreciated.