If you have MinGW installed, have it configured so that the MinGW/bin directory is part of the PATH, then you can open a Windows Command Prompt window, navigate to the root directory of wherever you unzipped the GLFW source, and type mingw32-make win32-mingw and it should build the library.
mingw32-make is the MinGW version of make. Make is a command-line tool (hence the need to open a command prompt window) that, when executed, will look for a file called Makefile in the executing directory. Makefile contains instructions for make, telling it how to build the project. A Makefile can specify certain targets to build, allowing the library maintainer to provide different build paths for different build environments. The win32-mingw target mentioned above, then, would instruct it to build the MinGW-specific path. Other build environments such as Linux would need to specify a different build target.
If all is set up correctly, executing the above instruction will result in a build. You should see a bunch of text spam in the command prompt window as files are compiled and libraries are linked. GLFW isn't huge, so it shouldn't take too long. If there are any errors, you'll need to note the error messages and try to figure out what went wrong. If it says that mingw32-make.exe is not a valid program, then you need to set up your PATH.
The PATH, of course, is the system environment variable telling Windows where to look when commands are executed at the command prompt. Go into your Control Panel, search for environment variables, and edit your system PATH, appending the path to your MinGW/bin directory. You'll probably have to restart your computer for the new PATH to be in effect.
Other errors might occur if there are missing dependencies in the project. I believe that GLFW includes any third-party dependencies, so you shouldn't have any problems there.
Once all is done, you will end up with some library files, usually a file called something like libGLFW.a if it is a static build, or a .DLL if it is shared. These libraries may be found somewhere in the build tree; commonly, a folder called lib but sometimes just dumped in the same folder as the source files. Link this library with your application to use GLFW.
