Try to locate the folder where it puts fxc.exe which is the DirectX shader compiler that we need.
On my 64 bit Windows it is located at C:\Program Files (x86)\Windows Kits\8.0\bin\x86. Add this folder to your PATH as well.
To build and run, say:
go get -u github.com/gonutz/ld40
cd %GOPATH%\src\github.com\gonutz\ld40
build.bat
ld40.exe