You will need to copy "config.h.win32" to "config.h" in the include

bmomjian · bmomjian · commit 5d93742b8df7 · 2000-02-10T15:47:58.000Z
directory.

I think this patch to the docs should be what is needed.

 Magnus Hagander
diff --git a/doc/src/sgml/install-win32.sgml b/doc/src/sgml/install-win32.sgml
@@ -20,8 +20,9 @@ manually in other cases.
 
 <Para>
 To build the libraries, change directory into the <filename>src</filename>
-directory, and type the command
+directory, and type the commands
 <programlisting>
+copy include\config.h.win32 include\config.h
 nmake /f win32.mak
 </programlisting>
 This assumes that you have <ProductName>Visual C++</ProductName> in your
