If you see Adam Crosby in the street, give him a hug, if you see it in a pub, give him a beer. Adam has brought me a remote VMWare session with Windows XP to build an test Gtk+ on Windows and try WiX to make the installer.
I still need to figure out how to use WiX, but at least I can run it now. This is going to save me tons of time. Kudos to Adam!