I found that I had to run Cygwin to compile new libraries, but I really wanted to use MS Visual Studio 2005 with Intel Fortran 9.1 for that, so I had to redesign all the makefiles and add some batch files to make it work. I have 2 setups - for ia32 and for em64t. You may need to change some paths in *.bat files to make it compile, like using 'Program Files' directory instead of 'Program Files (x86)'.
I post zip file with all directory structures and makefiles here, you just need to overwrite your sources with it. But I cannot guarantee the link will stay for long time, so you may copy it and share it too.
http://www.freewebtown.com/stellar/lapack-3.1.1_windows_makefile.zip

