NMap was first written as a UNIX app, so the primary download on the website is a gzipped tarball for UNIX systems.
However, you can also compile a Windows version from that by reading the "README-WIN32" file.
What specific errors are you getting? The downloads page has a few ideas on how to fix things, as well as a pre-compiled binary
download for the Windows command line version.
I downloaded the pre-compiled binary and it functioned, and then I also tried the Win32 instructions with the tarballed souce, and it also functioned.
I'm using Visual Studio .NET 2003 to compile, for reference.