MinGW SquidGuard

Don't use cygwin special
Get minimal install of MinGW and MSYS, using automated installers, available at http://sourceforge.net/projects/mingw/files/
- Automated MinGW Installer/MinGW 5.1.6/MinGW-5.1.6.exe
- MSYS Base System/msys-1.0.11/MSYS-1.0.11.exe
Download the following additional packages
- mingw-libgnurx-2.5.1-dev.tar.gz from MinGW User Contributed file area
- MSYS bison, flex, and regex dll packages

Fire up an msys shell and extract the packages

tar xf mingw-libgnurx-2.5.1-dev.tar.gz -C /
lzma -d -c < bison-2.4.1-1-msys-1.0.11-bin.tar.lzma.tar | tar x -C /
lzma -d -c < flex-2.5.35-1-msys-1.0.11-bin.tar.lzma.tar | tar x -C /
lzma -d -c < libregex-1.20090805-1-msys-1.0.11-dll-1.tar.lzma.tar | tar x -C /

Download BerkeleyDB from Oracle, extract, and build:

tar xf db-4.5.20.tar.gz
cd db-4.5.20/build_unix
../dist/configure --enable-mingw LIBCSO_LIBS=-lwsock32
make
make install

Download SquidGuard source from here. Don't use source from squidguard.org; that's a different fork of the project which doesn't support win32 platform. Extract and build:

tar xf squidGuard-1.3.0.tar.gz
cd squidGuard-1.3.0
export CFLAGS="-I/usr/local/include -I/usr/include"
export CXXFLAGS="$CFLAGS"
export LDFLAGS="-Wl,--enable-runtime-pseudo-reloc -L/usr/local/lib -L/usr/lib"
export LIBS="-lregex -lwsock32"
./configure --with-db=/usr/local/BerkeleyDB.4.5
make

Enjoy!