Cygwin is a set of DLLs
and programs for Windows, that provides a compatibility layer
with Unix. If you are planning on using Windows 98, Windows
2000, Windows XP or any other Win32 platform, you will need
to install Cygwin.
Step by step Cygwin setup
instructions are available.
Linux and other UNIX system users don't need to do
anything for this part, since their systems should already
have all the basic software required.