Bloodshed Dev-C++ is a free Integrated Development Environment for the C/C++ programming language. It includes Mingw port of GCC. You can use it to edit and compile Wesnoth code on MS Windows.
You should install the latest version, with Mingw/GCC.
Additional libraries (called "devpaks") can be installed from the program, in menu "Tools | Find updates/packages". To complete the compilation succesfuly choose those listed in CompilingWesnothOnWindows guide.
Open the Wesnoth project in program by clicking "File | Open project or file" and selecting file "wesnoth.dev". Click "Run | Re-build". And wait... either until program successfully compiles, or some error is displayed.