I will help you as much as I can but I hesitate to write a full tutorial because there are quite a few variables.
I will assume that you are compiling Imprudence 1.4.0-beta-1 on Visual C++ 2005 Express Edition,
If you havent already done so, Configure VC++ Express by going to Tools > Options > Projects and Solutions > VC++ Directories and adding the following paths to the top of the matching list (upper right dropdown). The ones listed here are default installations; use your local versions:
C:\Program Files\CMake 2.6\bin
C:\cygwin\bin (add this to the bottom of the list!)
C:\Program Files\Microsoft DirectX SDK (November 2008)\Include
C:\Program Files\Microsoft SDKs\Windows\v6.1\Include
C:\Program Files\Microsoft DirectX SDK (November 2008)\Lib\x86
C:\Program Files\Microsoft SDKs\Windows\v6.1\Lib
Create the build file:
Open up Visual Studio 2005 Command Prompt and type:
python develop.py -G VC80 configure -DPACKAGE:BOOL=ON
This will generate the build files in a folder called build-vc80 in the linden/indra folder.
CMake will die when it gets to VStool. Don't worry, this is expected due to differences between the regular and Express version. your solution file has already been created.
After develop.py has completed, from within VCE2005, go to File...Open...Project/Solution and navigate to Linden/Indra/build-vc80 ... and select Imprudence.sln, the project should open in Studio, and populate the directory/explorer.
The default StartUp Project should be "imprudence-bin" (you can tell because it's bold). If not, make it so by right clicking "imprudence-bin" and selecting "Set As StartUp Project".
Right click imprudence-bin again and select properties. Under Configuration Properties > Debugging, set the Working Directory to "..\build-vc80\newview"
There will be three build options: Release, Debug, and RelWithDebInfo. They recommend building Release.
This will take some time, in some cases hours the first time, (have some lunch, go for a walk) watch the results output, you will know when it is finished.
Most of the time there will be warnings, but that doesnt matter unless it generates errors.
If there were no errors then a Package containing the Imprudence.exe and Imprudence_setup.exe will be created in \linden\indra\build-vc80\newview\release.
The .exe should run from there, and the setup.exe can be distributed.
If there were errors, then we take it on from there, I have had and solved issues with Boost and "application configuration is incorrect".
Please post back when you get to this stage and let us know how it went.
(sorry if I have left out any steps, this is not a complete guide, I accept no responsibility if your machine begins to delete the contents of your refrigerator, or anything else.)