As I mentioned, I was adding extra packages to Cygwin to get the makefile version to work. I added the compiler packages (gcc), cmake, and make. (just to make sure).  That seemed to be what I need, as the "make, make-install, & make install-info" chant now works and I have a working version of 6.21b.

So, to summarize:
1. download and install the current emacs binaries (I used the W32 version at http://ourcomments.org/Emacs/EmacsW32Util.html). In my case I installed to C:\Apps\Emacs.
2. download and install the current version of cygwin. During the install, you will be asked which packages to install. Choose the develop branch and install make. (I also installed gcc and g77)
3. unzip the org zip file under C:\Apps\Emacs\site-lisp
4. change directory to C:\Apps\Emacs\site-lisp\org-6.21b (or the current version)
5. edit the Makefile. these are the changes I made:
EMACS=/cygdrive/c/Apps/Emacs/emacs/bin/emacs.exe

# Where local software is found
prefix= /cygdrive/c/Apps/Emacs/

# Where local lisp files go.
lispdir =  /cygdrive/c/Apps/Emacs/emacs/lisp/textmodes

# Where info files go.
infodir =  /cygdrive/c/Apps/Emacs/emacs/info
6. cross fingers and
make
make install
make install-info
   for the most part I got lots of text from emacs as it started, added stuff to the path and compiled the individual files. I did get several warnings about variables being out-of-date.
7. modify your .emacs file as suggested in the manual and save.
8. restart emacs and load an org file. Choose org->Documentation->Show Version from the menu and the little message area on the bottom should show "Org-mode version 6.21b"
9. Possible gotchas:
If there is a better way, I'd appreciate knowing it.

On Wed, Feb 4, 2009 at 11:48 AM, Manish <mailtomanish.sharma@gmail.com> wrote:
On Wed, Feb 4, 2009 at 10:49 PM, Bill Raynor wrote:
> I and many others would be grateful for a detailed step-by-step
> tutorial on installing org-mode on windows. The basic instructions
> work just fine on, say, OS X (edit makefile, make and make install)
> but don't work on windows.  Using emacs on windows is quite simple
> (download and install) but updating Org doesn't work so well.

Just unzip the org-mode in some location (e.g. D:/mystuff/org-mode/) and
add following to .emacs (customize to taste/need).. mostly copied from
Org manual activation section:

--8<---------------cut here---------------start------------->8---
(add-to-list 'load-path "D:/mystuff/org-mode/lisp")
(require 'org-install)
;; The following lines are always needed.  Choose your own keys.
(add-to-list 'auto-mode-alist '("\\.org\\'" . org-mode))
(global-set-key "\C-cl" 'org-store-link)
(global-set-key "\C-ca" 'org-agenda)
(global-set-key "\C-cb" 'org-iswitchb)
(add-hook 'org-mode-hook 'turn-on-font-lock)  ; Org buffers only
(transient-mark-mode 1)
--8<---------------cut here---------------end--------------->8---

>
> In the past I've used dired to attempt to compile the directory
> directly, which gets lots of error messages, but sort of works. I read
> a recent post on installing cygwin, but that doesn't quite work, as
> the post neglected to mention that you have to install cygwin + some
> unspecified packages (to get make, for instance). I trying that now. I
> am also using the W32 version of emacs.

You do not /have to/ compile the lisp files, you can use just the source
(by skipping all steps that ask for make in the installation section of
the manual.)  I am not sure how much performance impact will it have but
it's an option at least.

Do let us know how it goes.

HTH
--
Manish