This is aimed at Windows users who lack the software to crosscompile Unix Allegro themselves. It's particularly aimed at devkitGP2X users, but it may also work with other toolchains, if they are sufficiently advanced; the GPH toolchain is not advanced though, so don't use that.
I'd recommend also installing Allegro 4.2.0, as that's what this is based on - then you'll have the docs and examples, not to mention the ability to test your games on your PC!
You can install this wherever you like, including into your devkitGP2X directories. You need to edit the gp2x-allegro-config script, in the bin directory, and set the prefix to the parent of the bin directory. You may want to add the bin directory to your path.