As I don't actually build the Windows version on Windows, I can only give some rough hints here, I'm afraid. Your best bet is probably to use MinGW, as that is essentially the native version of the toolchain I use for crosscompiling. You'll also need CMake to use the existing build scripts. Once you have that installed, you'll need SDL 2.0 and SDL_image 2.0 development libraries, and dependencies, and then you'll need to build and install Audiality 2.
As for the build process, there are some hints here, although aimed at Un*x systems and similar.