Since there's no compilation guide around, and people tend to ask a lot about it (I did!), I thought I'd write a quick one. This is for Visual C++, but I'm guessing the basics of it would work with another compiler.
Download the source, extract it. (Duh)
Grab Zlib -
http://www.libpng.org/pub/png/src/zlib114.zip and extract it someplace.
Open up Server.dsw, and go into Tools - Options. Select the "Directories" tab.
From the drop-down menu, select "Libraries". Now add the following two paths:
x:\yourmysqlfolderpathhere\lib\opt\
x:\yourzlibfolderpathhere\
Then select "Include Files" from the same menu. Add the following two paths:
x:\yourmysqlfolderpathhere\include\
x:\yourzlibfolderpathhere\
Go into Tools, and select "Batch Build". Uncheck all options but the "Win32 Release" ones.
You're done! With a clean source, it should compile fine. ZoneNT.exe and World.exe will now be placed in x:\youreqemusourcefolderpath\Build\