> Can OCaml programs be compiled to native Windows(x86) executables ?

Yes, you can produce standalone Win32 executables, either using the
bytecode compiler ocamlc with the -custom option, or using the
native-code compiler ocamlopt.

> What external programs are needed ? Can Microsoft Visual C++ be of
> some help ?

>From the README.win32 file:

  Linking Caml bytecode with C code (ocamlc -custom) requires the
  Microsoft Visual C++ compiler version 6.

  The native-code compiler (ocamlopt) requires Visual C++ version 6
  and the Microsoft assembler MASM version 6.11 or later.
  MASM can be downloaded for free from Microsoft's Web site;
  see the comp.lang.asm.x86 FAQ for directions, or
  http://www.cs.uu.nl/wais/html/na-dir/assembly-language/x86/microsoft.html

Hope this helps,

- Xavier Leroy