Perhaps this is well known to gurus, but I had some trouble with configuring a snapshot in MSys/MinGW because zlib couldn't be found. After some digging, I managed to find that gcc-mingw doesn't look for /usr/local/include and /usr/local/lib, which are the directories that a mingw-compiled version of zlib resides. In any case, I thought that maybe a little FAQ or note could be added to the install documentation to mention this.
Basically, if configure complains about not finding zlib, then confirm that it exists in /usr/local/lib and /usr/local/include (from your MSys shell). If not, then create these directories (as necessary) and build zlib using gcc-MinGW from the MSys shell (http://www.zlib.org). Once you have a good copy of zlib, then run configure in the Postgres installation with the options: --with-includes=/usr/local/include --with-libs=/usr/local/lib
Hopefully, those few lines should save a novice like me a little headache during a future win32 build from scratch.
-Tony