The NVDA source depends on several other packages to run correctly. Below is a list of the relevant packages along with the URLs where the packages can be obtained.
Python 2.6, including 2.6.x:
http://www.python.org/
comtypes, version 0.5.2 or later:
http://www.sourceforge.net/projects/comtypes/
wxPython unicode (for Python 2.6), version 2.8.9.1 or later:
http://www.wxpython.org/
Python Windows Extensions (for Python 2.6), build 212 or later:
http://www.sourceforge.net/projects/pywin32/ 
Several other packages, made available for convenience in the NVDA miscellaneous dependencies package, version 2008-11-18-01 or later:
http://www.nvda-project.org/wiki/MiscellaneousDependencies

To build a binary version of NVDA, you will also need:
Py2Exe (for Python 2.6), version 0.6.9 or later:
http://www.sourceforge.net/projects/py2exe/
Nulsoft Install System, version 2.36 or later:
http://nsis.sourceforge.net/