There are now two Windows executable for the mosquitto broker.

mosquitto.exe is compiled using Visual Studio 2008 Express and is
therefore a native Windows application. It is however an incomplete
port of mosquitto and some features are missing, notably the ability
to change any configuration parameters and the lack of persistent 
database support.

mosquitto-cygwin.exe uses the Cygwin Unix wrapper for Windows to compile
almost exactly the same as on other platforms. It is fully featured
but requires the cygwin dlls.
