Yet another stupid Windows question

[Therem Harth]

Is there any way to make build systems on Windows see third-party libraries and headers installed to arbitrary locations?

e.g. Say I'm compiling the SDL version of Angband with MinGW. The standard instructions are to stick the SDL files in various places in the MinGW directory hierarchy. But maybe I want to compile something else against a different version of SDL, or maybe I've got another third-party library that has files with the same names, or... You get the picture. So Instead of installing mixing SDL in with MinGW, I install it to C:\SDL... Where build systems like CMake, automake, etc. cannot see it at all.

Is there a way to make this work? Or would it be better to just install Cygwin, and use -mno-cygwin to compile native WIndows binaries?