Georg made a fine recipe for linux.
In windows, things are easier
1.- You have to install Microsoft Visual C++ Express 2008 (freeware, needs registration after trial time, but is costless; all you need is a live id account).
2.-Then, define all the environment variables (see Georg's post). They are under System (Control Panel), I believe in the advanced category. Just have to create a new variable, and enter the path. About the lib variables, since you'll have only one OS bit system, replace the other path with the current one (i.e. if you are in a 64bits system, set PCLLIBDIR32=$PCLDIR/lib/x86_64 since there is no x86 folder.).
3.- Run PixInsight, and open the Makefile script (development category). If all environment variables were successfully established, the window will open. Create the project for the code.
4.- Now you should have a MSVC project file inside a subfolder in the code directory. Run it to open MSVC.
5- To compile the code, select the Release option (change it from Debug), and then click on "Build Solution".
6.- If successful, the new module should be created in PixInsight's bin folder.
7.- Open PI and install the module.
I'll upload compiled versions to PI's server. Unfortunately, I'm having some problems linking the code with most OS, so I may provide only Win32 files right now.