First, build mozjpeg. Then, configure jpegoptim with CPPFLAGS=-I/path/to/mozjpeg and LDFLAGS=-L/path/to/mozjpeg/.libs. Now, you could put the mozjpeg DLL somewhere in your PATH or in the same directory as jpegoptim.exe, but I recommend instead manually re-doing the final link using libjpeg.a instead of -ljpeg. Then the executable will be statically linked and you won't have to worry about the DLL.

Alternatively, see https://github.com/XhmikosR/jpegoptim-windows.

Anyone still googling and found this topic. See this comment in jpegoptim how to build a windows binary with VisualStudio2022(community) cmdline.