The simplest solution is to download the latest version of winetest. This executable contains all the Wine conformance tests, runs them and reports the results.
You can also get the older versions from Paul Millar's website.
If you are using Visual Studio 6, make sure you have the "processor pack" from http://msdn.microsoft.com/vstudio/downloads/tools/ppack/default.aspx. The processor pack fixes "error C2520: conversion from unsigned __int64 to double not implemented, use signed __int64". However note that the "processor pack" is incompatible with Visual Studio 6.0 Standard Edition, and with the Visual Studio 6 Service Pack 6. If you are using Visual Studio 7 or greater you do not need the processor pack. In either case it is recommended to the most recent compatible Visual Studio service pack.
get the Wine sources
Run msvcmaker to generate Visual C++ project files for the tests. 'msvcmaker' is a perl script so you may be able to run it on Windows.
$ ./tools/winapi/msvcmaker --no-wine
If the previous steps were done on your Linux development machine, make the Wine sources accessible to the Windows machine on which you are going to compile them. Typically you would do this using Samba but copying them altogether would work too.
On the Windows machine, open the winetest.dsw workspace. This will load each test's project. For each test there are two configurations: one compiles the test with the Wine headers, and the other uses the Microsoft headers.
If you choose the "Win32 MSVC Headers" configuration, most of the tests will not compile with the regular Visual Studio headers. So to use this configuration, download and install a recent Platform SDK as well as the latest DirectX SDK. Then, configure Visual Studio to use these SDK's headers and libraries. Alternately you could go to the Project+Settings... menu and modify the settings appropriately, but you would then have to redo this whenever you rerun msvcmaker.
Open the Build+Batch build... menu and select the tests and build configurations you want to build. Then click on Build.
To run a specific test from Visual C++, go to Project+Settings.... There select that test's project and build configuration and go to the Debug tab. There type the name of the specific test to run (e.g. 'thread') in the Program arguments field. Validate your change by clicking on Ok and start the test by clicking the red exclamation mark (or hitting 'F5' or any other usual method).
You can also run the tests from the command line. You will find them in either Output\Win32_Wine_Headers or Output\Win32_MSVC_Headers depending on the build method. So to run the kernel 'path' tests you would do:
C:\>cd dlls\kernel\tests\Output\Win32_MSVC_Headers C:\wine\dlls\kernel\tests\Output\Win32_MSVC_Headers> kernel32_test path
Wine's build system already has support for building tests with a MinGW cross-compiler. See the section above called 'Setup of the MinGW cross-compiling environment' for instructions on how to set things up. When you have a MinGW environment installed all you need to do is rerun configure and it should detect the MinGW compiler and tools. Then run 'make crosstest' to start building the tests.