Build from source
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Building Octave can be as simple as downloading the source and running the following three commands in your GNU/Linux shell:
./configure make make install
More detailed instructions for building from source are included in the Octave manual.
Windows Build System
In addition to the instructions provided in the Octave manual, a basic toolkit for building Octave in windows using the MSVC compiler has been produced by Michael Goffioul. It consists of a set of scripts that can be used to compile Octave and its dependencies.
A pre-compiled (with VS2010) version of everything has also been provided, so it is not necessary to recompile everything from scratch. The files can be found at:
Note that this is not a enterprise-level SDK.