On WAMPserver COPY
the icuXX.dll files (all 16 of them, with and without the version numbers) from the wamp\bin\php\php5.x directory to the wamp\bin\apache\apache2.x\bin directory.
You need to COPY (not move) them so that you can access them from both the command line (php app/console ...) and the website.
I hope that works for you - it represents the fruits of more than an hour's messing around for me!
I now have intl-1.1.0 working with ICU-4.6.1 and Symfony is happy (so I'm happy too).
(By the way, shouldn't this have been posted on the Symfony2 board instead of the sf1 board?)