Compilation and execution of gkt2hs-applications also works. However, I cannot run the main function from the REPL because the cairo library cannot be loaded. Thus, a compilation with "ghc --make" or "cabal build" + "dist\build\project\project.exe" is required when I want to test my gtk2hs application. It is easier to switch to the GHCi-REPL and type ":main". It is not a huge deal but the "developer experience" is way better with the latter approach (that I know from my Linux box). :)
After some googling I found the issue http://hackage.haskell.org/trac/gtk2hs/ticket/1270
that probably fixes the issue. GHCi just tries to load the wrong dll (in my case: libcairo-script-interpreter-2.dll). Changing the entry in %APPDATA%\ghc\i386-mingw32-7.4.1\cairo-0.12.3.1-.....conf from
ghc-pkg recache --user
fixes the problem. The bug report is still open and I think the described solution of #1270 will remove the described issue for windows users. But I don't know if the approach of #1270 is the way it should be done. Is there a plan to fix this issue (and is help required)?