I documented a way to build and install on Windows

[estradanic]

The documentation says to reach out about this topic, so here you go:

https://www.apachelounge.com/viewtopic.php?p=37276#37276

[bimimicah]

step # 2 in your instructions is no longer necessary if you use this repo :)
(as of #22)

[bimimicah]

I don't know the exact answer to your step # 3 problem, as I only use the Authorization side of mod_authnz_external (meaning I don't pass a password).
However, it may be worth it for you to check out pull request #32 (it's not merged yet), which fixes all kinds of random initialization issues. Apparently some Windows programs freak out when they can't locate the C:\Windows directory.... :D