I think you might have to download MinGW and set the environment varibales. Have a look here. There are loads of other posts that describe how to get it working so have a look around.
NOTE: Mark had a post that described how to do it but everytime I try to access it I get an "ERROR: Internal Error" message. :|
NOTE: Mark had a post that described how to do it but everytime I try to access it I get an "ERROR: Internal Error" message. :|