I made a tutorial for my students for compiling SNAPHU in Windows a time ago. It was originally written in German so the screenshots may not always totally match but the description should be sufficient.
Installation_SNAPHU_English_ABraun.pdf (849.1 KB)
Please note that this is no longer needed because snaphu 1.4.2 now has an already compiled exe file
Please see here: http://step.esa.int/main/third-party-plugins-2/snaphu/