I have never compiled GD under win32, so I can't help you. But the guys over at www.php4win.com have done so with development sources, which is some months ahead of the regular win32 releases from www.php.net. The current release is 4.0.8.dev and should include some documentation how they have done it, at least it says so in the faq. Except for that there is not much documentation out there.
If I understand right you just want to use gd2 under your win32 PHP ?! Maybe gd2 is already included in the package mentioned above or in the new "official" PHP release 4.1.0 which is about to be released very soon. You should find out from PHP homepage or www.zend.com (or maybe someone could help me out here).
-ingmar