Make sure that MinGW32's bin dir is in the search path, for example:
 
     set PATH=c:\mingw32\bin;%PATH%
 
   then run 'mingw32-make mingw32' in the root dir. There are other
   make targets available to build libcurl with more features, use:
   'mingw32-make mingw32-zlib' to build with Zlib support;
   'mingw32-make mingw32-ssl-zlib' to build with SSL and Zlib enabled;
   'mingw32-make mingw32-ssh2-ssl-zlib' to build with SSH2, SSL, Zlib;
   'mingw32-make mingw32-ssh2-ssl-sspi-zlib' to build with SSH2, SSL, Zlib
   and SSPI support.