For Windows, there are two choices.

1) Use GDAL prebuilt libraries (no comipling required).
   The installation program is called OSGeo4W.
   
2) Compile GDAL and third party extensions, like the Erdas ECW SDK on Windows.


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===                 1) Installation of OSGeo4w                                              ===
===                                                                                         ===
===============================================================================================


1.  Download OSGeo4W from http://wiki.osgeo.org/wiki/OSGeo_Win32_Installer
2.  Open/Run "osgeo4w-setup.exe"
3.  Select "Advanced install"
4.  Click on "Next"
5.  Select "Install from Internet".
6.  Click on "Next"
7.  Select the Root Directory where you want to install OSGeo4W
8.  Click on "Next"
9.  By default, the Local Package Directory will be the Root Directory you specified.
10. Click on "Next"
11. Chose how to connect to the Internet, for example, Ues IE5 Settings
12. Click on "Next"
13. On "Select Packages", select tools you are interested in, but don't forget to select:

[-] Commandline_Utilities
   1.6.0 .............................. gdal16: The GDAL/OGR library, command line tools (1.6 ABI)

[-] Libs
   1.6.0 .............................. gdal16: The GDAL/OGR library, command line tools (1.6 ABI)
   1.6.0 .............................. gdal16-oracle: TheOGR OCI and GeoRaster Plugins for Oracle

For ECW, select
[-] Libs
   1.6.0 .............................. gdal16-ecw: ECW Raster Plugin for GDAL 1.6


14. Click on "Next"
15. Finalize installation

16. If you chose to install gdal16-ecw, the ERDAS plugin, you must download the ECW DLL's
    from the ERDAS website, after you agree to the ERDAS lisencing agreement.

    The steps needed are summarized below.
    Full details are here: http://trac.osgeo.org/osgeo4w/wiki/pkg-gdal16-ecw

    SUMMARIZED STEPS
    ================
    Go to Erdas Web Site: http://www.erdas.com/Products/ERDASProductInformation/tabid/84/currentid/1142/default.aspx

    Download the ECW JPEG2000 Codec SDK (you will need to register, and agree to the ERDAS lisence agreement).

    Run the ERMapperImageCompressionSDK3.3Setup_20070509.exe

    After installation, copy the .dll files in the redistributable\vc71 directory somewhere appropriate, 
    like C:\windows\system32. eg.

      copy C:\"Program Files"\"Earth Resource Mapping"\"ECW SDK"\redistributable\vc71\*.dll C:\windows\system32

    Note that downloading and installing these DLLs requires agreeing to a license. 
    Please review the license terms carefully.

17. Now Open the icon "OSGeo4W Shell" by clicking on the icon on your desktop, or by
    executing OSGEO4W_ROOT\OSGeo4w.bat

18. Execute gdal16.bat

19. Try GeoRaster support:
C:\>gdalinfo --format georaster

   

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===                 2) Compiling GDAL and third party extension on Windows                  ===
===                                                                                         ===
===============================================================================================

Visual Studio 2003 or newer is required.

Make sure your %ORACLE_HOME% environment variable is set.  If it is, SDO_GEORASTER will automatically be part of the GDAL build.


http://trac.osgeo.org/gdal/
Click on BuildHints
If you don't need the ECW plugin, skill anything that references ECW below.


For ECW SDK
===========

The following is the Erdas ECW JPEG 2000 Codec SDK download site.

http://www.erdas.com/Products/ERDASProductInformation/tabid/84/currentid/1142/default.aspx

Register, and download the ECW JPEG2000 Codec SDK Source Code.
  Note that downloading and installing the ECW JPEG 2000 Codec SDK requires agreeing to a license. 
  Please review the license terms carefully.

Download ECW JPEG2000 Codec SDK Source Code 
cd libecwj2-3.3\Source
Compile for Windows


For GDAL
========

Click on DownloadSource
click on http://download.osgeo.org/gdal 
click on daily
stable is stable code, trunk is code under development (you choose which one you want to compile).
                       trunk may contain fixes to SDO_GEORASTER extension that are not in stable.
.gz files are source code for UNIX/Linux, .zip files are source code for Windows
Unzip the source
cd to top level directory of GDAL source tree 

mkdir full_path_to_GDAL_INSTALL_directory\GDAL_INSTALL

make the following edits in nmake.opt 
  set MSVC_VER to your version of the Visual C++ compiler
  set GDAL_HOME = full_path_to_GDAL_INSTALL_directory\GDAL_INSTALL
  Comment out STDCALL=YES
  Add -DCPL_DISABLE_STDCALL to OPTFLAGS

If you want ECW, also make the following edits to nmake.opt
  Uncomment ECW support
  ECW_PLUGIN = NO
  ECWDIR  = 	full_path_to_ECW\libecwj2-3.3
  ECWLIB  = 	$(ECWDIR)\Source\NCSBuildQmake\Debug\libecwj2.lib

From top level directory of GDAL source tree 
nmake -f makefile.vc
nmake -f makefile.vc install


Add full_path_to_GDAL_INSTALL_directory\GDAL_INSTALL\bin to your path environment variable.

To test install, georaster should appear as one of the gdalinfo formats.
For example, run the gdalinfo command as follows:

gdalinfo --formats

  --  ECW (rw): ERMapper Compressed Wavelets
  --  GeoRaster (rw+): Oracle Spatial GeoRaster