Finally succeded to start qt version of Lazarus!
@Zoran, missing dll is qt's bin directory (think that 4.6 need + 1 dll from that dir). Just copy it to the place where are other Qt dlls (eg Windows/System32), or set env vars (PATH) to that dir.
Including the directory in windows PATH didn't help for some reason. However, copying the dlls to Windows\System32 did! There were eight dlls.
Here is the list of the dlls which I had to copy:
mingwm10.dll, QtCore4.dll, libgcc_s_dw2-1.dll, QtGui4.dll, QtNetwork4.dll, QtWebKit4.dll, QtXmlPatterns4.dll, phonon4.dll.
All of them were originally installed in C:\Qt\2010.02.1\qt\bin directory (not to be confused with C:\Qt\2010.02.1\bin which also exists).
Also you'll need zlib.dll (if I remember correctly).
I found that the file of that name already exists in system32.
btw. qt works nice on windows
Yes it does! Unlike Gtk2 which is full of bugs under windows.