I have successfully adapted my build of waxe to support Windows and have included prebuilt binaries of waxe. So here are the steps for windows (no need to build waxe any more):

  1. install Haxe: download it from here
  2. install nme and hxcpp: in a terminal, type
    • haxelib install hxcpp
    • haxelib install nme
  3. install my own build of waxe; in a terminal type
    • cd <a_safe_place>
    • git clone https://github.com/therealglazou/waxe
    • cd waxe
    • git checkout WebView
    • haxelib dev waxe <a_safe_place>/waxe
  4. build my example (and don't forget to look at the trivial source):
    • cd <a_safe_place>/waxe/samples/04-Simple
    • haxelib run nme test Simple.nmml windows

To build on OS X, just follow the steps above and change the "windows" keyword on the last line to "mac".