First, install MinGW and MSYS.
Then, start the msysDTK Installer as for any other Windows program.
Choose the default option whenever you asked to.
When the installation finishes, you should be able to use autoconf and the other tools mentioned above from within MSYS.
NOTE: Besides the tools already mentioned, mysysDTK also installs its own version of Perl, C:\msys\1.0\bin\perl.exe.
This may affect you if you installed ActivePerl.
As mentioned, msysDTK requires MinGW and MSYS to be installed.
If you read this you are probably are also looking for other development tools for Windows, such as a debugger.
Check out here how to install GDB for MinGW.