go here and download and install codeblocks with everything (make sure everything is installed!)
http://www.codeblocks.org/
Then download this (it is the latest repo):
https://github.com/CleverRaven/Cataclysm-DDA/archive/master.zip
Finally, after you install codeblocks, unzip the repo into a folder and open up CataclysmWin. Once open, click build->build, wait for the build to complete, and in your repo folder should be a brand new cataclysm.exe.
You can also modify the code in the various .cpp and .h files and build it again if you want to give adding new features a whirl.
Edit: Good catch. I’m still used to just using the quick link.