I don't know what the current stance on such things is, and Schrodinger's acquisition of PyMOL might have changed things, but I remember two very clear messages from Warren relating to Windows compilation. I'd read these and think about them pretty carefully before you go out of your way to do the seemingly obvious thing and make Windows compilation easier. The first is from 2007:

http://www.mail-archive.com/pymol-users@lists.sourceforge.net/msg05696.html
> > The goal is
> > to produce a Pymol that uses native Windows graphics, not one
> > that requires X11.
> David,
> Please note that the goal behind Open-Source PyMOL (as maintained by DeLano
> Scientific LLC) is to enable compilation under open-source operating
> systems, and primarily, Linux with X11/GLUT.  It not our current intent to
> support, assist, or encourage native compilation of PyMOL open-source code
> on closed-source operating systems, despite the fact that such compilation
> is deliberately permitted under the unrestrictive open-source license terms.
> An open-source version targeting native Windows (via any means) would
> necessarily comprise a fork of the project.  Since such a fork would provide
> a realistic alternative to DeLano Scientific LLC's precompiled incentive
> builds for Windows, it could jeopardize our ability to continue funding
> development of the open-source code.
> If PyMOL revenues were imperiled, then to make ends meet, DeLano Scientific
> LLC would have no choice but to redirect development efforts into
> proprietary assets, significantly curtailing participation in the
> unrestricted open-source project.  At the very least, our unrestrictive
> open-source license would have to be restricted in future versions, thus
> defeating one of the primary aims of the project.
> We don't want that... do you?
> If not, then proceed down this path only with due care and consideration of
> the possible consequences.  Given enough effort, native compilation is
> certainly do-able, but it is not intended to be easy... nor commonplace.
> To the extent that you achieve your goal, please do think twice before
> publicly sharing the fruits and/or details of that success.  We would
> naturally prefer that such accomplishments remain private, since the future
> of PyMOL could well depend upon it.
> With great freedom comes great responsibility! ;)
> Warren L. DeLano
> DeLano Scientific LLC

The second is from 2009
http://www.mail-archive.com/pymol-users@lists.sourceforge.net/msg06761.html

> Bryn & others,
> By design, the PyMOL Open-Source Code only targets Linux and other 100%
> open-source operating systems (e.g. FreeBSD).  So to compile Open-Source
> PyMOL on Mac OS X or Microsoft Windows, you need to pretend you are
> running Linux by making use of X11 and the various GNU-compatible
> free-software porting systems (e.g. Fink, GNU-Darwin, Cygwin, etc.).
> Also by design, the current precompiled PyMOL builds for proprietary
> operating systems (i.e.  Microsoft Windows & Mac OS X) are themselves
> proprietary products offered by DeLano Scientific LLC.
> In other words, if you are willing to pay to use a proprietary operating
> system, then we feel you should be equally willing to support the PyMOL
> project financially via paid subscription access to our current builds
> for proprietary platforms.  That, indeed, is how we make ends meet while
> still keeping the PyMOL code open-source.
> For those who are not able to support the project financially, well,
> there are still plenty of older PyMOL builds for Mac & Windows floating
> around the internet.  They just don't include the latest fixes &
> features.  Of course, without a subscription, you don't have access to
> all the documentation -- only the public portion ( http://pymolwiki.org
> ).
> Please visit http://pymol.org/funding.html if you wish to purchase a
> subscription.
> Cheers,
> Warren
> PS. FREE builds for educational-use-only can be had via
> http://pymol.org/educational.html

2011/8/24 Troels Emtekær Linnet <tlinnet@gmail.com>
After some tries, I found that that the .reg file should be changed a little.
Then .pdb files gets icon and gets opened by pymol.cmd

C:\Python2X\PyMOL\PDB_file.reg 

REGEDIT4

[-HKEY_CLASSES_ROOT\.pdb]

[HKEY_CLASSES_ROOT\.pdb]
@="PDB.File"
"Content Type"="chemical/x-pdb"

[-HKEY_CLASSES_ROOT\PDB.File]

[HKEY_CLASSES_ROOT\PDB.File]
@="PDB File"

[HKEY_CLASSES_ROOT\PDB.File\DefaultIcon]
@="C:\\Python27\\PyMOL\\PyMOL.exe"

[HKEY_CLASSES_ROOT\PDB.File\Shell]
@=""

[HKEY_CLASSES_ROOT\PDB.File\Shell\open]

[HKEY_CLASSES_ROOT\PDB.File\Shell\open\command]
@="\"C:\\Python27\\PyMOL\\PyMOL.cmd\" %*"

[-HKEY_CLASSES_ROOT\pdb_auto_file]

[HKEY_CLASSES_ROOT\pdb_auto_file]
@="PDB File"

[HKEY_CLASSES_ROOT\pdb_auto_file\DefaultIcon]
@="C:\\Python27\\PyMOL\\PyMOL.exe"

[HKEY_CLASSES_ROOT\pdb_auto_file\Shell]
@=""

[HKEY_CLASSES_ROOT\pdb_auto_file\Shell\open]

[HKEY_CLASSES_ROOT\pdb_auto_file\Shell\open\command]
@="\"C:\\Python27\\PyMOL\\PyMOL.cmd\" %*"



2011/8/24 Troels Emtekær Linnet <tlinnet@gmail.com>
Hi.

I was very happy to find a post how to easy install pymol 1.4 from source on windows.

1) Install python, 2.5, or 2.6 or 2.7 for windows.
2) Download appropriate installer from: http://www.lfd.uci.edu/~gohlke/pythonlibs/#pymol   Select according to your python version.
3) Run it
4) PyMOL is now installed in: C:\Python2X\PyMOL

A) C:\Python2X\PyMOL\PDB_file.reg   should be edited in a text editor, to match your python version. Run it.
B) Pymol is started by clicking C:\Python27\PyMOL\pymol.cmd   which executes python on C:\Python27\PyMOL\pymol-launch.py

Happy pymoling.

Best
Troels


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