dialog requires ncurses, which meant that I needed to install the ncurses-devel cygwin package (using the cygwin setup tool). Then I downloaded the dialog source and did
configure && make && make install, and that "just worked" to get dialog in cygwin. And then the wallet "just worked," too.
So if you're running Windows and want to try the password wallet, install cygwin and give a wallet a try.