All the guides to getting ffmpeg working on windows seem to be extremely outdated; so here is a quick howto:

1. Download mingw
2. Install mingw with MSYS option; it will download and setup in C:\MinGW
3. Get the mingw coreutils extra package (can be found from here); current version
4. Install the coreutils extras package by un-7zipping and un-tarring it to C:\MinGW\msys\1.0\bin
5. Download yasm; save it as C:\MinGW\msys\1.0\bin\yasm.exe
6. Download and extract ffmpeg source (I used revision 647ec6f)
7. Edit your C:\MinGW\msys\1.0\etc\fstab file to add the location of your ffmpeg source
8. Open MinGW shell (it should be in your start menu)
9. change to the directory you extract ffmpeg (going via the alias you added in fstab)
10. ./configure
11. make