First, get your files. I used CVS NT, with the help of the batch commands on Maddes' page. Here's the PinMAME site.
I made a 1.52 version of Maddes' commands. Run it from the CVSNT directory, and you will get the tree from CVS. Put that where you want it, I usually stick it in the root because we will be running in DOS a lot. I also shorten the directory name.
Then, get your tools. Most of them come from the Mame download page. As PinMAME uses Mame .86, you need the 0.63-0.89 compile tools. Four files in the set, run MinGW first then uncompress the overlays in order. Copy the overlay directories into the MinGW directory.
DirectX 7 overlay
Here's an archive of the fully installed set.
Set your path to include the tools. batch file. Run this from the DOS window.
Here's an archive of my compiled 1.52 debug version, in case you get stuck.
A few 6809 files.