The best solution for this type of minimal setup is Windows XP Embedded. The downside is that you have to be a Windows geek to compile a proper Windows XP Embedded enviroment for WinUAE.
There is also WinBuilder, which is better that nLite, but requires a more skillfull Windows user. Anyway, it is not better than Windows XP embedded.
I hope someone dares use Windows XP Embedded for this, and guide us on how to achieve that. With XP Embedded i witnessed a Windows XP build with a footprint of 15MB!