I have only recently started learning CS.. so it's kind of the blind leading the blind. However.. this is what my experience has been so far..
Once you "jam install" it moves all the binaries from your CS_src dir into your Msys directory tree. Msys seems to be like a miniature *nix filesystem. You can't just use windows to double click and run the demos yet. You can use msys though.. cd to your cs_src dir and run "walktest -relight" from there.
When you get it working, can you tell me what the performance is like? It looks great on my laptop, but it's laggy. I don't have access to another computer right now to compare. Thanks