I do it all the time, and my recipe is exactly what nt/INSTALL says.
Eli, thank you for your time and replies, I know you are busy. Thank
you for pointing me back to INSTALL for a closer read.
Do you see the line which says "XPM header available, building with
XPM support."? If not, please look into nt/config.log file
immediately after running configure.bat for clues.
And ditto with config.log. I'll get GnuWin32 set up more appropriately
and get back here.
Annd, Lennart, I too thank you for building and making available a
current development version of GNU Emacs. Ooof, it's hard enough trying
to come over here to my Windows partition. But I'll get it right with
your help---thanks for your web site, I owe you an apology for the
context-free comment I made on emacs-devel. I was solely referring to
my frustration of not being able to score a current compiled development
Emacs and failed to put that into relief. I'm sorry.