To build the castle documentation you need to have:

1. built the castle trunk
2. manually run the zip-samples-for-website. 
3. Built AnakiaNet - this is not currently part of the nant build so you need to build it using VS.NET. 
4. You also need to declare the location of the built castle trunk using the "trunk.dir" nant property. 

e.g.

>cd castle-trunk 
>nant
... 
BUILD SUCCEEDED
>nant zip-samples-for-website
...
BUILD SUCCEEDED
>msbuild Experiments\AnakiaNet\AnakiaNet-vs2005.sln
Build succeeded.
>cd ..\castle-docs
>nant -D:trunk.dir=..\castle-trunk