Official [GRASS Web site]
I have not tried to build GRASS on a Windows system yet. I just download and install the binaries from the GRASS Web site. Current version is 5.7.0 Go there, go to the binaries download page, and follow the "detailed instructions".
Brace yourself. :-)
To make porting GRASS to Windows as easy as possible, it runs under "Cygwin". Cygwin is a port of the GNU environment to Windows. Since Linux is basically a GNU environment, this is sort of like running Linux on top of Windows. If I didn't have to use ArcView, I'd ditch Windows and run GRASS directly in Linux.
To run GRASS requires that you install the Cygwin "X11" packages (also known as "the X-Window system" or just plain "X"). X11 is not installed by default. You have to dig through the cygwin "setup" application, click on X11, and select "xterm" which then turns on most of the other packages that you will need. You will also need to select "X-startup-scripts" and "XFree86-lib-compat".
Packages you might want to install first