I've tried to compile rpy2 under Windows XP and had some success.
I've tried to compile and run rpy2 under windows. The results You'll see in attachment.
The technology is as follows:
1. Download and unpack R sources in C:/R, No LaTeX and Installer needed.
2. Adjust and Compile it as described in http://www.murdoch-sutherland.com/Rtools/ and "R Administration and Installation".
3. Applt the patch.
4. setup R_HOME, PATH so that setup.py could find R.h, etc.
5. python setup.py bdist -c mingw32
6. python setup.py install .... (or bdist_wininst).
To run the tests from http://rpy.sourceforge.net/rpy2/doc-dev/html/overview.html and to use rpy2 in principle environment variables stronly needed. See R_run.bat in attachment. If not to support some of them R.dll either will not load due to impossibility to find other .dll, or it cannot load 'base' packages, or it will die without notification due to impossibility to setup console (see 2-nd procedure call setup_term_ui in R sources).
I hope this will allow You to proceed with Win32 support.
Best regards, Evgeny Cherkashin