You can compile IPOPT also under MSYS/MinGW, which is another, more light-weight UNIX-like environment for Windows. It can be obtained from http://www.mingw.org/.
If you want to use MSYS/MinGW to compiler IPOPT with native Windows compilers (see Section 2.4.2), all you need to install is the basic version11. If you also want to use the GNU compilers, you need to install those as well, of course.
A compilation with the GNU compilers works just like with any other UNIX system, as described in Section 2.3. If you want to use the native MSVC++ compiler (with f2c or a native Fortran compiler), you essentially follow the steps outlined in Section 2.4.2. In the latter case, you again need to make sure that the environment variables are set for the compilers (see step 2), this time adding the line to the msys.bat file. Also, you need to run the compile_MS_ASL script in the ThirdParty/ASL immediately after you run the configuration script.