It seems people line up for this question, I've got the very same problem as you.
Using also IIS and NT4. I've done some compiling and it worked, but I really don't know what I'm doing and GD support is not working at all.
I've seen GD libraries everywhere and they need additional libraries to be compiled. I've even found a php4 GD library (php_gd.dll) for version 4, but just putting it in my winnt/system32 directory didn't help much.
After you've done everything right, you should have a php.exe, php4ts.dll, php4isapi.dll and probably a new php_gd.dll and you should replace you php.exe and put the dll's in your system32 directory.
However, how the heck do you compile a new php.exe which supports gd, since all the project files don't seem to have the dll. Yet it is in the ext/gd directory of the source files.
Anyway, PLEASE let me know if you found the answer, I'm beginning to loose it ;-(