A complete tutorial would probably be useful to describe how to make your own build of WinPython. However, exploring the source code package of WinPython (see make.py) and taking a look at the typical directory structure (see below) should help a lot.
See the directory structure: WinPython_Directory_Structure-2.7.6.2_3.3.3.2.pdf.
In this example, the WINPYTHONROOTDIR
environment variable was set to D:\winpython
.