use $(CURDIR) instead of "..\..\.." because the later does not allow to use options as --with-zlib=../zlib-1.2.3. It seems there is no common way to learn the current directory in Win32 make's: although nmake has MAKEDIR variable, nevertheless Borland make's MAKEDIR is the directory where make is installed, and OpenWatcom wmake has no MAKEDIR at all.

--- a/auto/lib/md5/make
+++ b/auto/lib/md5/make
@@ -35,7 +35,7 @@ case "$NGX_PLATFORM" in
 `echo "$MD5/md5.lib:	$NGX_MAKEFILE" | sed -e "s/\//$ngx_regex_dirsep/g"`
 	cd `echo $MD5 | sed -e "s/\//$ngx_regex_dirsep/g"`
 	\$(MAKE) -f $ngx_makefile $ngx_opt
-	cd ..\\..\\..
+	cd \$(CURDIR)
 
 END