In order to compile the binaries yourself you have to
1) In case of Windows install Cygwin (www.cygwin.com)
2) Install the Cuba library 1. (do not forget to start with export CFLAGS="-O3"; ./configure)
3) Choose the proper makefile (the Makefile32 and Makefile64 are for Unix platforms, the Makefile.Windows32 is for Windows)
4) Edit the Makefile specifying correct paths to the Cuba library and the Mathematica Developer Kit
5) Make it!