Intro
Gawkextlib has been built under MSYS/MinGW to obtain binaries that run under native Windows.
MinGW32
I installed gcc-4.7.2-1 in c:\Programs\MinGW32 using the files
gcc-4.7.2-1-mingw32-lang.tar.lzma
gcc-c++-4.7.2-1-mingw32-bin.tar.lzma
gcc-core-4.7.2-1-mingw32-bin.tar.lzma
libgcc-4.7.2-1-mingw32-dll-1.tar.lzma
libgomp-4.7.2-1-mingw32-dll-1.tar.lzma
libssp-4.7.2-1-mingw32-dll-0.tar.lzma
libstdc++-4.7.2-1-mingw32-dll-6.tar.lzma
Also, see http://www.mingw.org/wiki/HOWTO_Install_the_MinGW_GCC_Compiler_Suite
I further installed the following files; most of these are needed according to the install instructions. Files obtained from Sourceforge.
binutils-2.23.1-1-mingw32-bin.tar.lzma
gdb-7.5-1-mingw32-bin.tar.lzma
gmp-5.0.1-1-mingw32-dev.tar.lzma
libgmp-5.0.1-1-mingw32-dll-10.tar.lzma
make-3.85-5-mingw32-bin.tar.lzma
mingwrt-3.20-2-mingw32-dev.tar.lzma
mingwrt-3.20-2-mingw32-dll.tar.lzma
mpc-0.8.1-1-mingw32-dev.tar.lzma
libmpc-0.8.1-1-mingw32-dll-2.tar.lzma
mpfr-2.4.1-1-mingw32-dev.tar
libmpfr-2.4.1-1-mingw32-dll-1.tar.lzma
pthreads-w32-2.9.0-mingw32-pre-20110507-2-dev.tar.lzma
libpthreadgc-2.9.0-mingw32-pre-20110507-2-dll-2.tar.lzma (for OpenMP)
libpthreadgce-2.9.0-mingw32-pre-20110507-2-dll-2.tar.lzma
w32api-3.17-2-mingw32-dev.tar.lzma
Specifically for building gawk and gawkextlib I also used:
gettext-0.18.1.1-2-mingw32-bin.tar.lzma
gettext-0.18.1.1-2-mingw32-dev.tar.lzma
gettext-0.18.1.1-2-mingw32-ext.tar.lzma
libgettextpo-0.18.1.1-2-mingw32-dll-0.tar.lzma
gettext-runtime_0.18.1.1-2_win32.zip
expat-2.0.1-1-mingw32-bin.tar.gz
libexpat-2.0.1-1-mingw32-dev.tar.gz
libexpat-2.0.1-1-mingw32-dll-1.tar.gz
libiconv-1.14-2-mingw32-bin.tar.lzma
libiconv-1.14-2-mingw32-dev.tar.gz
libiconv-1.114-2-mingw32-dll-2.tar.gz
libcharset-1.14-2-mingw32-dll-1.tar.lzm
Which are also obtained from Sourceforge, except gettext-runtime_0.18.1.1-2_win32.zip. The latter comes from http://ftp.gnome.org/pub/gnome/binaries/win32/dependencies.
Msys
I installed MSYS version 1.0.17, using the following files from http://sourceforge.net/projects/mingw/files/MSYS.
msysCORE-1.0.17-1-msys-1.0.17-bin.tar.lzma
msysCORE-1.0.17-1-msys-1.0.17-dev.tar.lzma
msysCORE-1.0.17-1-msys-1.0.17-ext.tar.lzma
Create a suitable folder to install MSYS; I used c:\Programs\Msys\1.0. Unpack msysCORE (bin, dev and ext) in this folder using, for example, 7-zip.
Run postinstall\pi.bat and answer with y, y and c:/Programs/MinGW32.
I installed a number of additional utilities, using the files
bash-3.1.17-4-msys-1.0.16-bin.tar.lzma
coreutils-5.97-3-msys-1.0.13-bin.tar.lzma
coreutils-5.97-3-msys-1.0.13-ext.tar.lzma
diffutils-2.8.7.20071206cvs-3-msys-1.0.13-bin.tar.lzma
dos2unix-6.0.2-1-msys-1.0.17-bin.tar.lzma
file-5.04-1-msys-1.0.13-bin.tar.lzma
gawk-3.1.7-2-msys-1.0.13-bin.tar.lzma
grep-2.5.4-2-msys-1.0.13-bin.tar.lzma
less-436-2-msys-1.0.13-bin.tar.lzma
libcrypt-1.1_1-3-msys-1.0.13-dll-0.tar.lzma
libgdbm-1.8.3-3-msys-1.0.13-dll-3.tar.lzma
libiconv-1.14-1-msys-1.0.17-dll-2.tar.lzma
libintl-0.18.1.1-1-msys-1.0.17-dll-8.tar.lzma
libmagic-5.04-1-msys-1.0.13-dll-1.tar.lzma
libregex-1.20090805-2-msys-1.0.13-dll-1.tar.lzma
libtermcap-0.20050421_1-2-msys-1.0.13-dll-0.tar.lzma
make-3.81-3-msys-1.0.13-bin.tar.lzma
perl-5.8.8-1-msys-1.0.17-bin.tar.lzma
sed-4.2.1-2-msys-1.0.13-bin.tar.lzma
zlib-1.2.7-1-msys-1.0.17-dll.tar.lzma
gawk, grep, libiconv, libintl, libmagic, make and zlib are needed to build gawk and gawkext lib. The others accumulated on my system.