You will need to be a bit more specific :)
When I compile GIMP plugins on windows, I simply download the libgimp headers and lib files from the gimp-win sourceforge project (they don't seem to be available for 2.6 though, try asking on the GIMP irc, download the gtk+ headers and libs from the gtk+ site, and compile as I would compile any other program.
I guess you can do the same for GEGL, although you'd probably have to compile gegl yourself since I don't remember seeing any gegl distribution for windows. In order to compile GEGL, you will need
- a mingw/msys environment
- Binaries and Development headers of Gtk+ and babl (You may have to compile babl yourself).
You can refer to the GEGL website for instructions about that. Again, more details on what you are trying to achieve would help :) You can refer to my website on the page about compiling gimp on windows, to find instructions which will help you compile gegl and friends on windows.