I haven’t checked recently, but it’s always worked fine out of the box.
I’ve just downloaded emacs-21.4 leim-21.4 unpacked them gone to cmd shell on Windows XP
> vcvars32.bat > cd emacs-21.4/nt > ./configure > nmake > nmake install INSTALL_DIR=c:\pf\emacs
and voi la! emacs is running.
-Anton Tagunov October 2006