If you want to build gretl for win32, you have two main options:

* Go into the win32 subdirectory and have a look at the READMEs 
  there. You'll find support for building with mingw.

* You may be able to do the standard UNIX "configure ; make" in 
  this top-level directory, if you're on cygwin (but almost
  certainly not otherwise).
