Hi @Doujinx,
welcome to the forum!
It seem you want to build a gpg4win installer, and not install Gpg4win.
Is that correct? (Because your topic was about “installation”).
Note that Gpg4win is an installer to install GnuPG, Kleopatra and other Free Software tools for Microsoft Windows only. 
For cross building the installer for Microsoft Windows, see Building (customised) on modern Debian .
Best Regards
Bernhard