Hi,
 
I have successfully built zlib-1.2.5 under MSYS on Windows 7.
 
Running configure wont work, you do need to run the makefile that it specifies.
 
Follow these steps.
 
1) Enter the MSYS console
2) Navigate to the zlib root directory (if you extracted the files to /mingw/zlib-1.2.5, you must enter that directory).
3) run make -f win32/makefile.gcc
4) run make -f win32/makefile.gcc install BINARY_PATH=/mingw/bin INCLUDE_PATH=/mingw/include LIBRARY_PATH=/mingw/lib
    To run make install you need to set the three variables to where you want things to be installed (I have specified values assuming that /mingw is the prefix).
 
Hope that helps
 
Regards
Bidski