Please use the standard go get command to build and install Delve on Windows.
go get -u github.com/derekparker/delve/cmd/dlv
Also, if not already set, you have to add the %GOPATH%\bin directory to your PATH variable.
Note: If you are using Go 1.5 you must set GO15VENDOREXPERIMENT=1 before continuing. The GO15VENDOREXPERIMENT env var simply opts into the Go 1.5 Vendor Experiment.