Is there any Howto about how to build Bitcoin Core from the source code on Windows? I can't find any as yet. There is a build-windows.md file that explains how to build Windows version on Ubuntu but not on Windows itself. Quote from that file:
Building on Windows itself is possible (for example using msys / mingw-w64),
but no one documented the steps to do this. If you are doing this, please contribute them.
I'm not sure how up to date this is, but this thread may help:
https://bitcointalk.org/index.php?topic=149479.0. Currently it is all done through cross compilation because compiling on windows is a pain in the ass.