Update: a tutorial on building Mono on Windows by Andreia Gaita is available here.
There are two ways of building Mono on Windows, both do require a Cygwin setup which provides some tools required by Mono at build time. First, download and install Cygwin from www.cygwin.com.
Make sure you select the following packages when installing:
* autoconf * automake * bison * gcc-core * gcc-g++ * libtool * make * python
Make sure you are using a recent cygwin version.
Select some handy utils for later use:
* wget * zip
Some other tools that are nice:
* patch * openssh or PuTTY * vim
At this point, you can do a VisualStudio build or you can continue reading the instructions for a cygwin build.
If you download the tarball, extract it with:
tar -zxvf mono-x.x.x.x.tar.gz
Add mono to your path. This could be either a previous build of Mono, or an install from the Mono Windows Combined Installer from Downloads. Using the installer is probably the easiest for most cases.
export PATH=$PATH:<path to installed mono>/bin
In the mono source directory, run the following:
Feel free to use any prefix you like. Continue with:
make make install
If everything goes well, you will have a compiled mono in an hour or two.