Building Gaudi
The official Gaudi Home Page: http://proj-gaudi.web.cern.ch/proj-gaudi/
Our GLAST Gaudi home page: http://www-glast.slac.stanford.edu/software/gaudi/
A good point of contact if having trouble: Pere Mato.
Obtaining the source
Obtaining the external libraries that Gaudi uses
http://service-spi.web.cern.ch/service-spi/external/distribution/
On the windows side - many libraries are only provided in debug mode. The Gaudi team does not have the time or resources to provide non-debug optimized versions - they use Windows as a development environment and not for production.
Compilation