Update 2016: My current approach is here.
The network library used to be bundled with GHC. Unfortunately it was unbundled from the standard installer (in my opinion, a mistake), and people were required to either install it using Cabal (rather tricky) or switch to using the Haskell Platform (which is not suitable for power developers who want to test with newer/older GHC versions, or those who want to upgrade/downgrade network). This post describes how to install the library on Windows using Cabal.
First, install Cygwin. I selected lots of options (configure tools, auto conf, compilers) - but I'm not sure which are necessary.
Then start a Cygwin window and run:
WHICHGHC=`which ghc` && PATH=`dirname $WHICHGHC`/../mingw/bin:$PATH && cabal install network --configure-option --host=i386-unknown-mingw32 --global --enable-library-profiling
This configures network to use mingw32, and sets up the PATH so that mingw binaries from GHC are first, and get configured in. You can then use the network library as normal, without ever using Cygwin again. I have successfully executed this command on GHC 6.12.3 and 7.0.1.
Dependencies on foreign libraries are a problem for any cross platform language. Several years ago, installing Haskell libraries was a painful process - but Hackage and Cabal have made it impressively easy. The only remaining packages that are complex to install are those that bind to foreign libraries, most of which use configure scripts, which are not well suited to Windows. I hope over time even libraries with foreign dependencies will become easy to install.
Update: Ivan Perez suggests the alternative form:
WHICHGHC=`which ghc` && PATH=`dirname $WHICHGHC`/../mingw/bin:$PATH && cabal install network --configure-option --build=i386-unknown-mingw32 --configure-option --host=i686-pc-cygwin --global --enable-library-profiling