Building OpenJDK on Windows

Experimenting with some stuff, I found that it is often useful to have JDK source code available in hand to make some changes, play with it, etc. So I decided to download and compile that beast. Apparently, it took me some time to do that, although my initial thought was that it's should be as simple as running make command :). As you can guess, I found that it's not a trivial task and to simplify my life in future, it would be useful to keep some records of what I was doing.