the steps I use:
open cmd.exe
type sh
You should see a prompt like that:
sh-3.1$
once in sh, change dir to your lib dir., so for me is:
cd /c/Users/ing.conti/Documents/zlib1211/zlib-1.2.11/
when there, you should ber allowed to call ./configure
You should see a message saying:
"Please use win32/Makefile.gcc instead." if so:
type:
make -fwin32/Makefile.gcc; make test testdll -fwin32/Makefile.gcc
as per readme for windows.
You should see:

Now their tests run fine.
- You will see a bunch of *.o and *.exe inside.
(delete manually if You want to see recompiling again, OR use:
make clean -fwin32/Makefile.gcc)
You can run *.exe BOTH from "sh" AND from cmd line of windows.
Now You can start modifying sources and / or Makefile.gcc, or duplicate it....