Most importantly, don't try to compile FFMpeg for Windows unless you enjoy pain.
Seriously. Many have tried and failed.
The best way to use FFMpeg on Windows is to use a precompiled shared library version from the Unoffical FFmpeg Win32 Build site
The recommended version is r16537, which is also available to download from here
If you simply must compile it yourself, then read on below...
FFmpeg can only be built on Windows using the Msys+MingW toolchain. The FFMpeg on Windows Wiki gives detailed instructions on how to do this.
IMPORTANT: You will need to add "c:\msys" to the VSNET2005_PWLIB_CONFIGURE_EXCLUDE_DIRS environment variable to avoid Opal configure from attempting to use the new header files.
Note 1: If you experience a "hang" while running the "./configure" for FFmpeg, try opening the Task Manager and killing the "lvprcsrv.exe" process. This is apparently a known issue when compiling with the MingW toolchain.
Note 2: If the compile fails with errors relating to "vfw", add the "--disable-devices" option when confguring FFmpeg