1) Setup MSYS

  Install the following:

  mingw from:
  http://www.mingw.org/

  cmake from:
  http://www.cmake.org/

  For mingw, get the mingw installer in the downloads section under:
  'Installer' / 'mingw-get-inst'. 

  Install c and c++

  Now start up the 'MinGW Shell' and install a decent terminal:
  mingw-get install mintty

  If that worked, you should be able to type 'mintty' from the shell and get 
  a new window to open that can do useful things like go fullscreen. 

  In the new window type 'gcc --version' and you should see something like:

  $ gcc --version
  gcc.exe (GCC) 4.6.1
  Copyright (C) 2011 Free Software Foundation, Inc.
  This is free software; see the source for copying conditions.  There is NO
  warranty; not even for MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.
  If that worked, you're good to go!


2) Run SETUP

  Either:

    chmod 700 SETUP
    ./SETUP

  Or edit SETUP and run the commands in it manually.