The channel MakingGamesWithBen on youtube recently posted this awesome guide on how to install/build CMake and go through the entire build process on Windows. Every CEGUI that every beginner should watch this video!
I also just added this video to the Getting Started section with some extra information - check it out. And don't forget to follow Ben's future videos, it seems like he got more interesting videos coming up on CEGUI!
Edit: A new video has been published. This one gives you a good introduction to the integration of CEGUI into your project, the resource initialisation and basic rendering.
Edit2: And another helpful video by Ben: This one shows how to set up SDL input injection for CEGUI and talks about bit shifting and UTF Strings. In this context I would like to remind users to look at the CEGUI application templates (news here), which also deals with input injections, updates etc (SDL2 and GLFW currently only):