My current task is evaluation crypto (here: OpenPGP) solutions for Microsoft Windows; of course including GnuPG.
Well, what do I say. While there is a nice installer for GnuPG on Windows available (either here or here), try to find one for the gpgme supporting library… (including header and .lib import files for Visual Studio, that is).
You can guess… It’s all about build-your-own-stuff. It basically boils down to this:
Preparations

• Create a directory to collect all the stuff you will need (e.g. C:\gpgme with bin, include and lib sub folders)
• Get mingw and install it
• Get MSYS and install it
• Download libgpg-error and extract it
• Download gpgme and extract it

Compiling libgpg-error

• In the MSYS bash, change to the directory you extracted libgpg-error into and run ./configure --prefix=/mingw && make install
• Call strip src/.libs/libgpg-error-0.dll src/gpg-error.exe as MSVC can’t use gcc’s debug info anyway
• Copy src/gpg-error.exe and src/.libs/libgpg-error-0.dll to the bin directory created above
• Copy src/.libs/libgpg-error-0.dll.def to lib/libgpg-error-0.def (note the renaming; otherwise your program will look for a libgpg-error-0.dll.dll)
• Open the Visual Studio Command Prompt
• Call lib /machine:i386 /def:lib\libgpg-error-0.def /out:lib\libgpg-error-0.lib to create the import library
• Copy include/gpg-error.h to include

Compiling gpgme

• In the MSYS bash, run ./configure --prefix=/mingw && make
• Call strip src/gpgme-w32spawn.exe src/.libs/libgpgme-11.dll
• Copy src/gpgme-w32spawn.exe to bin Note: To use the gpgme library, this binary has to live either in the installation dir of gpg (set in windows registry key HKLM\Software\GNU\GnuPG\Installation Directory) or in %PROGRAMFILES%\GNU\GnuPG. Otherwise gpgme will not work!
• Copy src/.libs/libgpgme-11.dll to bin and src/.libs/libgpgme-11.dll.def to lib/libgpgme-11.def (Once again, note the renaming)
• Call lib /machine:i386 /def:lib\libgpgme-11.def /out:lib\libgpgme-11.lib to create the import library
• Copy include/gpgme.h to include

Optional: Creating the documentation
I was not able to create the documentation properly using cygwin so I did this on a Linux host. Install a TeX distribution of your choice as well as texinfo (for Debian Lenny this would mean installing the packages texinfo, texi2html and texlive). Call make pdf in the doc subdir to generate the PDF documentation and manually call texi2html gpgme.texi for a HTML document.
Summary
Now you can add the lib dir to your Visual Studio linker settings and the include dir to your C/C++ common settings. To make gpgme work, be sure you have the gpgme-w32spawn.exe installed properly as noted above.
I hope this helps to guide one or another through the struggle of getting gpgme on windows.
Q&A

• Q: gpgme does not find libgpg-error

  A: You did not call make install after compiling it

• Q: My program is looking for {libgpg-error-0.dll.dll|libgpgme-11.dll.dll}

  A: You did not rename the .def file before calling lib.exe

• Q: I did everything you said, but when I run my program, gpgme_engine_check_version(GPGME_PROTOCOL_OpenPGP) fails with GPG_ERR_INV_ENGINE. If I check the engine info, info->version is empty

  A: First of all, check if you copied gpgme-w32spawn.exe to the correct directory. If this is the case, actually, I have no idea what went wrong