There ARE pecl library collections for Windows, and they're either appended (as a separate link) on PHP download page (named X.Y.Z-win32-pecl.zip or similar), or linked somehow (for example, the latest PHP5 can use PECL from the previous 5.X setup, and it says so on the download page).
If all You get is source code, You will need to build these yourself.
a) download PHP source code (a lot of headers required to build the libs and link them to PHP on Windows),
b) download the extensions You want to build, and put them in /phpsource/src/ext/ folder,
c) prepare Your favorite C/C++ IDE (I prefer to use VisualC++ 6.0 for the sole purpose of writing PHP extensions on Windows)
d) make a build environ, and finally
e) build ;-)
Do note You will need PHP[ver]debug_ts.lib or PHP[ver]release_ts.lib to link them properly.
Unless You're building them for PHP 4.4.4 (which I use to develop .exe apps using BamCompile - a roundabout way, but it works magic), in which case just send Your source code to me, I'll build it for You if I have time. ;-) Also chances are, the extension You're looking for HAS a .dll built for it already. Just take the name of the extension, and search Google for " php_*NameOfTheExtension*.dll PHP*YourPHPVersionNumber* " and You just might find it (although a few, like php_openAl.dll don't exist as .dll).