To compile GDAL on windows (mingw) :
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Install MinGW64 => use the same version that used by your version of QT (go to mingw/bin directory of qt in 
a msdos window and type "gcc -v" to know the version that you must install)

Install MSys => when a msdos prompt is showed, type "yes" and follow instruction. Type the path of the root directory of your recent mingw installation

Download GDal source.
Unzip them in a folder.
Launch a MSys command window.
Go to the folder of GDal.
Type ./configure

Follow instruction :
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The complete steps for building gdal-2.0 under MinGW64 (mingw-builds) are:

$./configure
Then, Edit GDALmake.opt, Find GDAL_ROOT and replace the cygwin drive format with dos/mingw format, e.g. Change:

GDAL_ROOT  = /d/temp/build/gdal-2.0
to

GDAL_ROOT =  d:/temp/build/gdal-2.0
Replace

CONFIG_LIBS =   $(GDAL_ROOT)/$(LIBGDAL)  
with

CONFIG_LIBS =   $(GDAL_ROOT)/$(LIBGDAL)   -liconv

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And finally type "make && make install"

To compile GDAL on windows (visual studio) :
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Download the latest GDAL source code from svn https://svn.osgeo.org/gdal/trunk/gdal 
Extract the files into a folder e.g. C:\Work\src\gdal\.
On the Windows Desktop, select Start | All Programs | Microsoft Visual Studio 20XX | Visual Studio Tools | Visual Studio x64 Win64 Command Prompt.

The Visual Studio x64 Win64 Command Prompt appears.
In the Command Prompt, change directory to the extracted GDAL source code root folder.

C:\> cd \Work\src\gdal-2.0

Modify in file nmake.opt the variable GDAL_HOME to the path where you want to install gdal 

Build the GDAL 64 bit Windows binaries with the nmake command.

C:\> nmake /f makefile.vc WIN64=YES
C:\> nmake /f makefile.vc WIN64=YES install
C:\> nmake /f makefile.vc WIN64=YES devinstall