Here’s what I do:
cd /c/Development/Haxe
git clone https://github.com/openfl/lime
cd lime
git submodule init
git submodule update
cd ..
haxelib dev lime lime
git clone https://github.com/openfl/openfl
haxelib dev openfl openfl
haxelib run lime rebuild windows
haxelib run lime rebuild tools
haxelib run lime setup
lime rebuild windows -Dlegacy
You can use --recursive when cloning Lime, but I usually forget 
You can shorten haxelib run lime to just lime and skip setup if you already have the lime shortcut
Of course, you need a copy of Visual Studio C++ installed on Windows to build any C++ files. I also have to run these commands from “Git Bash” (after installing https://git-scm.com/download/win)
Does this help?