The windows nightly build now works. Almost. The program runs on the build machine and with any machine that has python installed separately (at least if it's a 32-bit python). Unfortunately it fails on machines without python installed, for unknown reasons. The previous approach has been to distribute the python2x.dll file and the core python modules. However, after switching from MingW to VisualC, this no longer seems good enough.
If you are desperate to run the windows nightly builds, you can install python from http://www.python.org/download/ (IMPORTANT! Use the 32-bit installer, even on 64-bit machines). With that installed the nightly builds should work from now on.
Currently I don't really know how to solve the problem (it says "no module named site" eventhough "site.pyc" is available in the pythonmodules directory), so I'm hoping for input from someone smarter than me.