I'm a bit worried by the Windows version:

- liblzma can't be compiled by Visual Studio: too many C99 isms, mostly variables declared in the middle of a block.  It's doable for sure, but it's a lot of work.

- liblzma is normally compiled with mingw, but we have to be sure that is uses the correct MSCRT C runtime, and what about debug builds?

- All extension modules use static libraries: zlib, expat, sqlite.  But a gcc static library can't be used by Visual Studio.

- The way recommended by XZ is to use a precompiled liblzma.dll; Then it should be easy to build an extension module, but its would be the first time that we distribute an extension module which needs a non-system DLL.  Is it enough to copy it next to _lzma.pyd?  Is there some work to do in the installer?

Too many "but"s :)