If you want to hack the configuration by yourself, here is a more detailed description of what the setup does – and does not.
Your PATH is modified to make the programs installed accessible. It is checked for any older version of fpTEX or TEX-Live, and if one is found, its entry in PATH is removed. This is done by looking for the file kpathsea.dll along your PATH.
If Ghostscript installation has been required, no specific configuration is done anymore, because the information needed by Ghostscript and the programs which will call it is found in the registry now (version 5.50 and later). Previous or customized installations might require to set the GS_LIB variable. See the appropriate documentation (Ghostscript manual).
ImageMagick and NetPBM locations are also added to your PATH if they have been selected. Moreover, the right delegates.mk file is copied according to your platform (Windows 9x or Windows NT). See ImageMagick documentation for more details.
Your main <root>/texmf/web2c/texmf.cnf file is edited to reflect the texmf trees you have specified, and the location of locally generated fonts. This means modifying the variables $TEXMF, $TEXMFLOCAL, $HOMETEXMF, $VARTEXMF, $VARTEXFONTS and adding a $TEXMFEXTRA.
In the current state, you will have to edit the file <root>/texmf/web2c/mktex.cnf to add the feature `varfonts', that will force any locally generated font to be stored in $VARTEXFONTS.