This tutorial assumes you have installed haxe previously (with the automatic installer for example).
After building haxe from source we'll replace the haxe executable and the std folder there.

General instructions:

Create a new folder named 'haxe'.
md haxe

Checkout the latest source files into that folder:
svn checkout http://haxe.googlecode.com/svn/trunk/ haxe

Nagivate to the haxe folder where you just checked out the repository.
cd haxe

Build haxe with 'make"
make

Navigate to the folder where you previously installed haxe and replace the haxe executable and std folder with the ones you just created.
Run haxe to make sure everything is ok:
haxe

It should tell you that it is the latest haxe version (2.11 at the time of writing)

Detailed instructions for Windows:

1.
- Using your favorite SVN client, checkout haxe sources from http://haxe.googlecode.com/svn/trunk/

2.
- Install MSVC version of OCaml: http://caml.inria.fr/pub/distrib/
- Currently the last available OCaml MSVC version is 3.11

3.
- Install any version of Visual C++ (Express): http://www.microsoft.com/visualstudio/en-us/products/2010-editions/express

4.
- Install GNU make for Windows: http://gnuwin32.sourceforge.net/packages/make.htm
- Install GNU CoreUtils for Windows: http://gnuwin32.sourceforge.net/packages/coreutils.htm
- Make sure both are available from command line by adding GnuWin32/bin to your PATH

5.
- Install Flexlink: http://alain.frisch.fr/flexdll.html
- Again make sure that flexlink.exe is available from command line

6.
- Run Visual Studio command prompt OR start a normal command prompt and first run "Microsoft Visual Studio X/VC/vcvarsall.bat"
- Navigate to where you checked out the haxe sources and run:

• make MSVC=1 MSVC_OUTPUT=0 -j4 -f Makefile.win libs
• make MSVC=1 MSVC_OUTPUT=0 -j4 -f Makefile.win haxe
• make MSVC=1 MSVC_OUTPUT=0 -j4 -f Makefile.win tools

7.
- You should find your haxe.exe in your haxe source folder
- After updating from SVN, you only have to run the last make command again (unless any of the libs changed)