Things have moved since I posted about the difficulty of being a Haskell programmer on Windows. Now, Gtk2hs has been cabalized and put on Hackage. I went into my MSYS prompt, and it installed like a charm! I've downloaded the latest version of Leksah, and it installed and started properly! As I write this I've seen the initial Leksah screen, and it's now busy referencing my packages (I wonder if giving it the location where Cabal stores the packages it downloads was a good idea, it seem to be taking a while...).
So I think now all the things I was struggling to get working are now installed and doing fine on my Windows 7 machine! There is hope!