If you're running msys and have pkg-config installed, it should work. That's the setup I use to build the MSI. I don't remember whether msys/mingw includes a pkg-config binary, but I think that it is included with the Windows version of GTK.
sure, these two are different from the rest. for the "standard" modules, i'd like to pull the common Makefile parts into a separate file and include that. the code could try include ../pure/$mkfile and fall back to include $(pkg-config pure --something).
This affects at least faust2pd, gnumeric-pure, pd-faust and pd-pure. Other packages such as pure-gen use custom installation layouts as well, although it's probably possible to massage them into a suitable form.
Factoring out the common parts of the Makefiles is a good idea, but I'm not sure how you want to do that. Note that it must still be possible to release the modules as separate, self-contained packages. A good test for that is that both 'make' and 'make dist' (or 'make distcheck' where it is available) must still work outside of the hg tree.