Getting the go code compiled in Windows is actually pretty easy - if you just set up your Windows go environments, set the required paths and grab the required dependencies it should just build straight off.
The problem for me was the web client side of things. For the life of me I could not get the tools working properly in windows that are used to properly compile up all of the React code properly. This is not so much a Mattermost problem as a problem with the tools themselves - they have known issues in Windows and essentially focus on Linux OS's.
In the end I used Vagrant to set up a Linux VM to handle the client side of things. This is one hacky way of doing it - you can set up Vagrant to share your Windows code source folder so it's accessible from within the guest Linux OS and then run watchify/browserify to automatically build your React code changes that you make from within Windows - you just have to change it to poll to detect changes.
If you just want to run the latest release then it's much simpler - grab the latest distribution which has all the properly compiled React client side code all ready. You simply need to then compile the go code in Windows and you should be good to go!