Just tried compiling the latest ethereal from the CVS... Seems like gtk/Makefile.nmake did not include all the required tap stuff... This fixed my problems...
Index: Makefile.nmake =================================================================== RCS file: /cvsroot/ethereal/gtk/Makefile.nmake,v retrieving revision 1.34 diff -r1.34 Makefile.nmake 74a75,77 > ethereal-tap-register.c: $(ETHEREAL_TAP_SRC) > @echo Making tethereal-tap-register.c > @$(SH) ../make-tapreg-dotc ethereal-tap-register.c . $(ETHEREAL_TAP_SRC)