To setup your path go into My Computer, view system information, advanced, environment variables then add to the path box C:\MinGW\bin; C:\MinGW;
The PATH variable should have X:\wherever\MinGW\bin added to it (use ; to seperate new entries, altho that should be obvious) - X:\wherever\MinGW should be in a new variable entry named MINGW
I actually had the opposite problem to amon when I was using Win2000 - the menus were selectable but it refused to build my modules anyway (only Protean could do it, not BlIDE either)... installing WinXP seems to have eliminated that problem =]