I'm not really a windows user, but given the latest discussion on the rust subreddit, I thought I give using gtk4-rs on windows a try.
To set up my build environment, I followed this blog post:
That way, I successfully built and installed gtk4/master. And I can launch gtk4-demo.
Building from the tag 4.3.0 didn't work for me, as the source of glib couldn't be checked out.
In the blog above, things got installed to C:\GNOME. I chose C:\GTK instead, but the name doesn't really matter.