I guess I might help you a bit, I'm on the same boat called windows. I'm not with Rover but Copter, and am on Win7 and not WinXP, but my procedure is a s follows
1) first, and most importantly, you should know these wiki pages:
2) download pixhawk_toolchain_installer_latest.exe and run it
this is actually quite a nice piece, since it installs everything but doesn't hurt any other installation on your PC, so, if you have e.g. an arm-eabi somewhere else, or python, or whatever, this is not affected and no conflict happens !
there is a bit of a downside in that it now makes you installing all drivers, and doesn't give you the option to skip that part as in older versions, which is nasty since it takes some time, and I never had found these drivers to work out for me (e.g. make-upload doesn't work), however, I also never found these drivers to hurt, so, no need to worry here
there is also a bit of downside in that it is totally unclear which version the pixhawk_toolchain_installer is, so you essentially have to reinstall it often
otherwise it's really a nice piece, since totally dependence free
so, JUST RUN IT, say always yes to everything, and you get all you need
3) get the code
this step depends on which tools you're using, I'm using Github Desktop, and not Git for Windows as mentioned in the wiki. Github Desktop makes it quite easy, but needs maybe a bit of getting used to it. Anyway, with your git-based tool, clone the master repository, and check out the branch you want (master, 3.4., or whatever), you should then have a github folder on your drive with an ardupilot subfolder.
As regards downloading the zip: In my "early" days I also did it by downloading the .zip, and it worked fine back then, but I would NOT recommend that anymore! The reason is that they are now heavily using git submodules (or however that is correctly called in git-language), and to get the code of those is going to be a real pain! This is where I stumbled and which made me using a git-based tool to get the firmware folders from the git repository.
So, DON'T WASTE YOUR TIME with zips, you're much better off using one of the two mentioned git things.
4) get the submodules
this step also may depend on the git tool you're using
Github desktop does it all for you automatically, i.e. you don't have to do this step, for other tools I don't know.
With Github Desktop it would manually go as this:
open GitShell, browse to the git firmware folder, e.g. github\ardupilot, and enter git submodule update --init --recursive
your git tool should also offer you a command line thingy, where to enter git submodule update --init --recursive
5) copy and "initialize" the folders
I'm not developing using git, and want code organized "my way", so what I do is to copy the ardupilot folder to somewhere else and rename it, let's say blabla/xpilot. This will break the git, and it will make the px4 toolchain to not work. So, in the blabla/xpilot folder, what I do is this:
delete the .git and .github subfolders
open GitShell, and browse to the blabla/xpilot folder
run git init
run git add *
run git commit -m "any comment you like"
this corrects the git
6) setup Eclipse
in step (2) you should have gotten a PX4 Toolchain entry in the Start Menu, go there, and run PX4 Eclipse
when, follow the f...... manual: http://ardupilot.org/dev/docs/editing-the-code-with-eclipse.html#editing-the-code-with-eclipse
I do the "Creating the Project from scratch" thing
the only thing I do differently is the first step, where you set up the new project. Instead of the mentioned name&folder, I enter whatever name I find convenient, and select the "....\blabla\xpilot" subfolder, and NOT the vehicle subfolder. The advantage is that I then also can easily browse to e.g. the libraries, look into the code of other vehicles, and so on.
Note that in the later step, where you enter the build folder, you MUST use the vehicle subfolder, as told in the wiki.
That's it. This was a lot of text, my memo sheet looks much shorter, as this
clone into GitHub
open Git Shell, git submodule update --init --recursive
copy to desired folder, rename
delete .git and .github
open Git Shell, git init, git add *, git commit -m "whateveryouwant"
setup Eclipse: http://ardupilot.org/dev/docs/editing-the-code-with-eclipse.html#editing-the-code-with-eclipse
This at least works fine for me.
Have fun and enjoy it for as long as it lasts, my extrapolation is that Windows folks won't be able to compile ArduPilot in a near future.