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Last time I looked (2005 version), you couldn't compile to a portabile
.exe with the Express version, or more exactly you could by getting
through another large installation (SDK) and a hairy configuration
process. I hope things have changed since then.
Besides, Visual C++ Express is bulky and intrusive: unless I am
mistaken, it also installs a database server and changes many file
associations without giving any choice. Not all users would like that.

I'd rather follow the first of Mike's suggestions and just use MinGW
(Code:Blocks could be a simple one-stop choice).

I've found that the Windows Platform SDK comes with command line compilers that work fine out of the box (you don't need Visual C++ Express and all the mess it brings with it). Basically you install the Windows Platform SDK (the latest one does depend on .NET 4.0 but oh well, what can you do), download the Lua sources, open a Platform SDK command prompt from the start menu and run the "etc\luavs.bat" batch script. When the script finishes you have a freshly compiled Lua 5.1 waiting for you in the "src" folder.

So I agree with most people in this thread that it really isn't that hard. It just requires you to know what you're doing and it requires you to install a C compiler and headers which may be a bit involved for people new to Lua. However I certainly remember that I had problems getting started with Lua because it required knowledge about C which I didn't have. Acquiring that knowledge was very educational for me but I can see why not everyone is so enthusiastic about it :-)

 - Peter Odding