Use of OpenJDK under Windows ?

Finally I managed to build OpenJDK with Cygwin (at least I think so - make finishes, and I haven't seen any errors). Now I want to use it on a Windows machine (Win XP) without any Java installed so far. What do I have to do? Place my output at a specific location? Set environment variables? Call a file or script?
Please help.

Thanks in advance

Volker