Hi,
I just have written a small guide about how to set up the development environment for android and win32. I know that the wiki already contains information about this, but it skips some common problems, so I decided to create this small step by step guide. I leave it here, and I hope it will be useful to someone else some day.
http://www.jesusbosch.com/2012/06/how-to-set-up-android-and-win32-cocos2d.html
Cheers,
JB
@jbaiguade