The link seems to be the favorite. I think the ruby option could be made to work better using current tools. Something like install JRuby, therubyrhino, and the coffee-script gem, put the compile command in the Rakefile, and run `jruby -S rake`.
To use CoffeeScript with the mingw-built Node.js, just add "path-to-coffe-script/bin" to your mingw-bash $PATH (or the global path, but node.exe only works in mingw) and change
#!/bin/env node
to
#!your-nodejs-folder/node.exe
in "bin/coffee"
edit: Or just add the directory with "node.exe" to your path.
The cygwin Node install isn't so bad if you have a comprehensive list of prerequisite packages [1].
I also downloaded a script called `apt-cyg` that lets me download and install new cygwin packages from the command line rather than digging out setup.exe [2].
Haven't tried it yet but if it works, then that's great. Most of my work-related development is done on a Windows laptop and that has been a major hurdle in trying to adopt CoffeeScript. No more excuses now.
Binaries are available here:
http://node-js.prcn.co.cc/