Release ffmpeg-java-20070916-0351 now has windows compatibility.
Notes from Stephan Goetter:
Very good documentation how to setup build environment (msys and mingw) and how to build ffmpeg on windows can be found here:
http://arrozcru.no-ip.org/ffmpeg_wiki/tiki-index.php
The ffmpeg builts provided at http://arrozcru.no-ip.org/ffmpeg_builds/ have worked too, but some image codec/format were missing.