Building KiCad on Windows has become a reasonably complicated process because of the amount of dependencies required. The best place to get started building KiCad on Windows is to use the KiCad-Winbuilder project which has all the dependencies included.
NOTE: Due to some concurrency issues with mingw32-make or cmake on Windows the first build has to be done with only a single process. This means the first time you build KiCad with KiCad-Winbuilder, it takes a looong time to build! Subsequent builds use parallel jobs to speed up the build process and do not take as long.
If you suffer any problems or want to improve the script please see the launchpad project page to participate. https://launchpad.net/kicad-winbuilder
Please report any issues for KiCad-Winbuilder to the KiCad-Winbuilder project on Launchpad and not the KiCad project.
Ubuntu (12.04) Precise
Recently (as of 2014 anyway) Dick Hollenbeck placed a script in the KiCad source repository for installing KiCad from source. Please see: kicad-install.sh