Building Thunderbird

is relatively easy. Just follow the build documentation.

# Get the comm-central (mailnews) source
hg clone http://hg.mozilla.org/comm-central/
cd comm-central
# Update and get the remaining source (mozilla-central)
python client.py checkout

# Setup a basic .mozconfig file
echo 'ac_add_options --enable-application=mail' > .mozconfig                   # let's build Thunderbird...
echo 'mk_add_options MOZ_OBJDIR=@TOPSRCDIR@/objdir-tb-release' >> .mozconfig   # ...in this directory...

# Build
make -f client.mk

If you're on Windoze, you need to install the Mozilla Build suite of Unix tools. You will also need a C++ compiler and an SDK (set of include and lib files). To build 1.9.1 and newer code use MSVC 2008 Express and Windows 7 SDK. You will also need to solve the missing ATL header problem.
Your "nightly" Thunderbird executable will be in \comm-central\objdir-tb-release\mozilla\dist\bin\