AFAIK, all ISAPI filters (read: modules) for IIS are dll's. Don't think that IIS will use any other files. You can config IIS to use php.exe, but then it's running as a CGI process. Bottom line is, Win32 will only work with pre-compiled executables or dll's. Source code is something that Win32 doesn't do too well with🙂
If you want to try compiling PHP yourself you'll need Vis. C++ 6.0, win32build tools from Cygnus, and some of the Cygwin tools (also from Cygnus). Compiling under Win32 is a dodgy business and is pretty hard unless you've lot's of experince with it. It still isn't easy even then. Your best bet is probably to download the Win32 binaries from www.php.net, unless you have a great need for the latest and greatest CVS version of 4.0.7-dev🙂 HTH,
Cheers,
Geoff A. Virgo