The page http://www.swig.org/download.html has a specific download for Windows with a pre-created version of swig.exe. You can download it and avoid problems with compiling swig yourself.
If you really need to, you can consult the Doc / Manual / Windows.html file, which contains instructions for Windows to create SWIG.
Finally, to answer your specific question, syntax
./configure
is a UNIX-style command that means "run a program named configure in the current directory" (period)
On Windows you must enter
.\configure
or even simpler, since all files are executed on Windows, only
configure
... BUT this will not work, since the specified "configure" script is a bash script that will not be run in the Windows shell.
Tibo
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