Hi,
At the moment Windows build is a bit difficult, and need some external tools (gub, mxe ?) that don't have the same behavior depending on the machine they are executed. There is no documentation about that. The result is that Windows build cannot be automated. And if the build cannot be automated, no integration test can be run on it.
We could just manually build .dll dependencies (with the help of gub for example). Then we could carry those binaries and their headers in the repository (or if you prefer, a subrepository, as git allows this). This way we would control our build environment, and we would be able to build a windows binary in a deterministic way.
The only constraint would be to manually update dlls when we need a newer version of a dependency.