I am trying to do it, but all I can get is some source code that I don't know how to do deal with I downloaded from http://pkgconfig.freedesktop.org/releases/.
This is a step-by-step procedure to get pkg-config working on Windows, based on my experience, using the info from Oliver Zendel's comment.
I assume here that MinGW was installed to C:\MinGW. There were multiple versions of the packages available, and in each case I just downloaded the latest version.
Now CMake will be able to use pkg-config if it is configured to use MinGW.