Today I will present a simple graphical guide to build Blender 2.5 on a Windows computer. A lot of the instructions just need to be done one time, once you have a building environment setup, updating the build is a *really* simple process. But if you just want a cutting-edge daily release, you can find those pre-compiled for you on Graphicall.org
Firstly, you will need a few piece of software: We are going to use Microsoft Visual Studio 2008 and Cmake to help us build Blender, and to fetch the source code from blender.org, we’ll also need a SVN client, I will use TortoiseSVN.
1. Get Visual Studio 2008. If you have access to a copy of Visual Studio, great! But I heard the free Express Edition works too. I went with a custom installation and this is all the components you’ll need to build Blender.

2. Get CMake and install it. It’s free.
3. Install TortoiseSVN, also free.
4. Once all the software are installed, we can begin to acquire the Blender source codes! First, navigate to an empty directory and right click to do a SVN Checkout. Use the following URL:
https://svn.blender.org/svnroot/bf-blender/trunk/blender
Put the source under C:\Blender\blender. Next, let’s also acquire the libraries needed to build Blender. Do another check out with the following URL:
https://svn.blender.org/svnroot/bf-blender/trunk/lib/windows
Make sure you put the files under a directory like C:\Blender\lib\Windows. If you want to make 64bit builds, also check out the 64bit libs:
https://svn.blender.org/svnroot/bf-blender/trunk/lib/win64
Put that under C:\Blender\lib\Win64

Use TortoiseSVN to check-out the Blender Windows Library
Once you have done the 3 check-out, your directory structure should look like this, make sure all the folders and files are in the proper place, otherwise you will have a hard time building Blender:

Folder structure
5. Now that you have all the source files, it’s time to start the building process!
We are going to use CMake to generate a “solution” file for Visual Studio. A solution is what Visual Studio would open to build the entire Blender. It’s a collection of smaller project, each project is a collection of source files.
Now open CMake, and In the top text box, type in where you put the Blender source code. (C:\Blender\blender, in my case)
In the second text box below it, select a fresh directory where you want the output file to go. I am using C:\Blender\build
Now click on Configure, this will bring up another dialog box where it asks you which generator to pick. We are going to use Visual Studio 9 2008, or Visual Studio 9 2008 Win64, if you want to build a 64bit Blender.

Then CMake will populate the main window with a list of options that you can disable or enable. The default selection is good, but if you want to speed up the building process, you can deselect certain options that you are not using.
Certain options might also be unavailable or broken on 64bit. For example, if you are building a 64bit release, make sure you uncheck FFMPEG, JACK, and QUICKTIME, since there is no 64bit library for these media features yet.

For first timers, I would suggest unchecking all of these boxes to build a minimalist Blender. It will be faster, smaller, and there is less chance of running into an error at compile time. You can come back and re-enable these settings once your first build is successful. Once you have made your selection, click on Configure at the bottom of the screen. Then followed by clicking on Generate. These will generate the corresponding Visual Studio solution files in the directory you specified above. (C:\blender\build\) in our case. Close CMake.
6. Navigate to C:\blender\build, you should see the solution file you just generated. Open “Blender.sln” with Visual Studio 2008.

Once Visual Studio opens the solution, make sure you change the default build target from Debug to Release. Otherwise you will end up with a debug build of Blender that is slower, bigger, and probably not helpful unless you are debugging.

After that, simply select Build Solution from the build menu. After about 10 minutes of compiling and linking, a fully functional Blender installation should be ready under C:\Blender\build\Bin\Release.