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.

The Russian documentation is available at http://sysoev.ru/nginx/
The English documentation is available at http://nginx.net