I have successfully compiled the library with both MinGW/MSYS and Microsoft Visual C++ Express editions 2008 & 2010 (the instructions are provided in the README.Windows file in the source code).
With MinGW/MSYS it is actually very easy, you just use:
configure --prefix=/mingw/
make
make install
You will need the glib library, which you can get from here (both the “Binaries” and “Dev” packages of GLib - extract them in the /mingw/ directory).
If you want to link the library statically instead of dynamically, follow the instructions in the README.Windows file, but note that there's an error: option disable-declspec should be disable-dllimport.
I'm not releasing windows builds because I don't really know Windows and I'm not sure how they're supposed to be made (help with this is welcome).
Also, I'm not releasing Visual C++ project files because I'm not sure if they can be distributed, but if you use Visual C++ and follow the instructions provided with the liblqr sources just note that there's a typo in README.Windows: LQR_EXPORT should be LQR_EXPORTS instead.
I hope this helps.