Hi, I've just dl Ember 0.5.3 for windows and tried to connect to a Mason server. The problem is in the character creation where the type dropdown list is empty. Maybe I've missed some dependency, but I couldn't find any docs on additional libs to download.
What server did you connect to? If the server is correctly set up you should get a list of available types. Try connecting to amber.worldforge.org, that should always work.
The windows client is much harder to compile from scratch than the linux one, due to the large number of dependencies for which there's really no sane build system on win32. We however provide all dependencies prebuilt, so you should only really need to build the Ember client itself. Which isn't that hard.