Did I even install minGW and Cmake to the right place? Are they supposed to be installed in the DFhack folder?
No. Definitely not. But hopefully it won't break anything...
So ".." means parent directory. If I understand it right, that just tells cmake to look in the parent directory of the dfhack\build folder, which is \dfhack (Captain Obvious, I know, but just so I'm not leaving anything out). But is that right? Shouldn't it go to the source folder or the build folder instead?
It won't work. The directry you run cmake from is the build directory. The ".." is therefore used to separate the build files and source files. I enforce this, it will yell at you and refuse to continue if you run cmake from the source directory.
But all of this looks like it's unrelated to Cmake not finding that .dll. Still can't get it to look in the minGW\bin folder for it. How do I do that? It seems that setting the path variable to C:\minGW or C:\minGW\bin isn't enough. Is that not the path variable's job or is there something I need to "connect" the path variable to in order for it to work? Am I even creating the path variable in the wrong way? All the compile document said was "You'll have to add C:\MinGW\ to your PATH variable.". It didn't say how. The way I went about it was to open the Cmake gui and create an entry of the type "PATH" and put either C:\MinGW or C:\MinGW\bin in the "value" field. I'm not sure that's what the document meant but it's impossible to know for sure from the information I have.
The PATH variable is an environment variable, and is specified for the whole system in one of the Windows control panels (Probably named System too). This tells the system where to look for binaries (like compilers and stuff).
So, what you need:
Working cmake
Working Mingw32
(Both have installers that should be able to set the PATH automatically for you)
Then go to dfhack\build and double-click one of the .bat files (Release Mingw32 build should be right)
Results are placed into dfhack\output
If you have MSVC and decide to use it, a project file will be generated in dfhack\build\build-real\