Hi Uwe, could you try development/cmake/mingw.bat. Call it from any path. The script creates the build folder "compile-mingw". Only requirement is that msvc2010-deps is on the same level as the lyx source dir (and the C:\Qt installation)
After the build there is a LYX_INSTALLED dir with the files which you should pass to NSIS. If any file is missing in LYX_INSTALLED we should fix cmake. I really hope this simplifies the Windows build. Peter