1. A new version of Eigen (v 3.0 now) is out (on March 23, 2011), and it seems promising. First, a few links:
2. No compilation issues on the Win32 platform: I just downloaded it today, and found that it compiles OK with VC++ 10.0 on Win32 (the BUILD_ALL project). I haven't had the time to try anything further, though.