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Cygwin is a full fledged and rapidly maturing unix environment on top of windows. Cygwin installs very easily with the interactive setup program available from the cygwin homepage at http://sources.redhat.com/cygwin/. In fact precompiled versions of stable GNU Go releases as well as of the cgoban X11 GUI can be downloaded through Cygwin's setup. Cygwin's setup also provides precompiled packages of most of the unix tools necessary to participate in development.
If you want to build GNU Go yourself make sure to download the ncurses packages prior to building GNU Go. GNU Go compiles out-of-the box using the standard Unix build procedure on the Cygwin environment. After installation of cygwin and fetching gnugo-3.6.tar.gz you can type:
tar zxvf gnugo-3.6.tar.gz cd gnugo-3.6 ./configure make
The generated executable is not a stand-alone executable: it needs cygwin1.dll that comes with the Cygwin environment. cygwin1.dll contains the emulation layer for Unix.