1. Make sure you have downloaded, extracted and built the dependencies package
2. Download CMake. You want the 'Win32 installer' release in the binary distribution section
3. Run the CMake installer, install wherever you like
4. Launch CMake via Start > Program Files > CMake 2.8 > CMake
5. In the "Where is the source code" box, type or browse to the root directory of your OGRE source (the one that contains the OgreMain folder)
6. In the "Where to build the binaries" box, type or browse to any folder you like - this will be where the build output will go (libraries, headers, dlls & sample exes). The folder does not have to exist yet. Note that you can run this process more than once with different output folders if you want (but we won't complicate matters now)
7. Hit the 'Configure' button near the bottom of the screen
8. Pick your target compiler, e.g. "Visual Studio 8 2005"
9. Answer 'Ok' when asked if you want to create the build directory
10. Wait for the configure process to finish
11. The screen will now have a bunch of configuration options on it, which will be red (this is to indicate this is the first time you've seen them). You can see the potential for customising your build here, but for now just click the 'Configure' button again
12. The values will turn grey, and the 'Generate' button at the bottom will now be enabled. Click 'Generate'
13. Build files will now be generated in the location you picked, and CMake will say "Generating done"

 
That's it for CMake! You now have a set of project files that are very much like you're used to in previous versions of OGRE, in the output folder you chose. Just browse there and open the main project file (e.g. OGRE.sln). You can build as before, but there is now a special target called 'ALL_BUILD' which is a quick way to build all targets for a specific configuration. Note that all build output is now stored in a subfolder of this build folder, and not in the original OGRE source folder - so you can create multiple builds from one source directory now.