I can wholeheartedly recommend cygwin, a bash shell that runs under WinWhatever and comes with most tools you expect on a UNIX (gcc, gdb, UNIX file utils, etc). At the time of writing, even Perl 5.8.0 can be installed.
Since gcc is part of the deal, a lot of UNIX software can be compiled and run under Windows.
Currently it has a nice installer that can be found on the cygwin site and that allows to install software components as needed.
It makes live a lot more bearable on a Windows box.
Hope this helps, -gjb-
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