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GNU Octave is primarily developed on GNU/Linux and other POSIX conformal systems. There have been many efforts in the past to build ports of GNU Octave for Windows. Take a look at the various ports of Octave available for Windows [http://wiki.octave.org/Octave_for_Windows here].
Recently some work has been done in maintaining a unified build system '''mxe-octave''' (a fork of [http://mxe.cc/ MXE]) which anyone can use to produce cross as well as native builds of GNU Octave for Windows and Mac OS X platforms. This page contains instructions about creating a Windows installer using mxe-octave.
==Steps to create Windows Installer==