If you are like me, you may want to try different setups at the same time. Perhaps you want to have both MinGW and MSVC installations for whatever reason. Or just may want a simple and painless environment creation without polluting your desktop. This is what I did:
1) Install devel packages and tools with the KDE installer in a path of your choice. (eg. C:\KDE): kdelibs, kdepimlibs, automoc, qt, kdewin32, gcc-mingw, cmake are the minimal packages you need.
1.1). Apparently dependencies are not resolved for devel packages. So, if you want to install more, make sure to install other devel libraries your module/software needs.
2) Save the following to "mingw.bat" (change paths as necessary):
What you need to check/change are the INSTALL_PATH and PATH variables to point to your KDE dir and MinGW dir. Save it in your sources dir or anywhere else.
3) The key is the environment shortcut. Select a good place where you will usually start your environment from (e.g. c:\src\). Create a new shortcut to:
%windir%\system32\cmd.exe /K c:\YOURDIR\mingw.bat
And save it as "Environment (MinGW)". Done.
Whenever you will build/install from sources, open "Environment (MinGW)" and start hacking.