Here's a step-by-step guide:
simply download and unzip ANT binaries say into c:\apache-ant-1.8.1
download and unzip NUTCH sources say into: c:\apache-nutch-1.2
open the command prompt and run the following:
cd c:\apache-nutch-1.2
c:\apache-ant-1.8.1\bin\ant
the same would work from the Bash shell, just use Cygwin-style paths:
cd /cygdrive/c/apache-nutch-1.2
./cygdrive/c/apache-ant-1.8.1/bin/ant
That's it, you will find a new directory build
containing the output.
For convenience, you might want to add the Ant bin directory to the PATH environment variable so that you don't have to give the full path each time, but that's optional.
BTW I just did those exact steps, and all went fine.
Finally, follow this tutorial to get started.