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Some more links that might be useful. Assuming you mean to use Lua in general on Windows, and not specifically the “Lua for Windows” project binaries.
Installing Lua, a compiler and LuaRocks on windows; http://www.thijsschreijer.nl/blog/?p=863
A newer project (from after writing the post mentioned above) specifically for building Lua on windows; https://github.com/Tieske/luawinmake
Hth.
Thijs
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Basically there are 2 (relatively) easy ways to use Lua in an environment with most stuff being done for you; LuaDist and LuaRocks.
The difference being that LuaDist uses cmake as build tool, and as such the LuaDist project keeps track of all cmake configurations for supported libraries (if you don’t know cmake and require a library not in LuaDist you might be depending on others to get what you want). With external libraries (OpenSSL for example) LuaDist is easier to use.
With LuaRocks every module author is responsible of publishing his own module (see luarocks.org). The format is a bit easier to tinker with, but here not all modules are supported on all platforms (especially unix libs not compatible with Windows). With external libraries you need to compile the base library yourself, as LuaRocks only builds the binding)
(the above is my view… so probably others think differently)
For starters both will serve you fine. For help, turn to the Lua mailing list, or alternatively here.
Thijs
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