To build on windows:

copy tsnnls\win32\taucs_config_build.h to tsnnls\tsnnls\taucs_basic
This just overwrites the OSType

Also, you will need to find BLAS libraries to link.

I used libraries from http://www.netlib.org/clapack/CLAPACK-3.1.1-VisualStudio.zip
More optimized libraries may be available.

You'll need:

BLAS_nowrap.lib
clapack_nowrap.lib
libf2c.lib

for the release build, 

BLASd_nowrap.lib
clapackd_nowrap.lib
libf2cd.lib

for the debug build.

Place the libraries in the tsnnls\win32\lib directory.