Finally, after all the promises, I'm proud to announce that I finished the Guide for compililng (a pre-packaged version) GIMP on windows! The technique is using MSYS and MinGW, and without Cygwin - which means it's a native windows build!
What does it mean Pre-Packaged? It means a source package that you download from the website, and not the latest one from the version control system (Git in GIMP's case). Pre-Packeged version are not exactly the same you get from Git, and they passed an additional step that makes the compilation a bit easier. The additional steps for compiling the Git versions will be posted (hopefully) later this week.
On which version was this tested? On GIMP 2.7.1
The guide can be found here.
Update - fixed a small mistake which caused some stuff to be extracted to the wrong place.