Yes, this was a real pain in the neck. There follow a few notes to make this easier for others, I hope.
First off you need to patch your kernel. This is relatively straightforward, i.e. download two patch files from the Netraverse site, and patch them onto your kernel using the suggested patch commands, reconfigure your kernel to turn on the Win4Lin option (this appears on the top level of the "make menuconfig" display), and then rebuild.
However, there is one big gotcha in that the current patch for the 2.6.11 kernel is confusingly called mki-adapter26_1_3_12.patch. If you apply the previous mki-adapter26_1_3_11.patch, you get problems with undefined symbols and your mki-adapter module won't load into the kernel.
Before you reboot, run the win4lin-installer. Let it set up your registration and EULA acceptance, and let it download the Win4Lin RPM. It keeps this under /var/win4lin/installer_tmp/. Stop it before it installs it, though, and copy the RPM somewhere elsewhere. Now you will have to install the rpm package for Debian and use RPM to install Win4Lin, forcing it to ignore a failed dependency on /bin/sh. I tried using alien and dpkg but it really didn't work out, even after tracking down and running the postinst script (/opt/win4lin/postinst_rpm.sh). It is much less painful using RPM:
rpm -i --nodeps Win4Lin-5.5.20e-d.i386.rpm
If you are worried about uninstalling cleanly, this is covered near the end of a helpful Netraverse document:
rpm -e Win4Lin
Now you need to reboot so that your new kernel runs and the Win4Lin startup script gets run to install the modules. If all is well, you should see two new modules listed with lsmod.
Now everything is installed correctly, you can return to the GUI installer to complete the operation, following the instructions to load up a Windows CD and so on:
Hopefully that's the end of the hard part. At least, everything was easy for me from here on.