Answer:
Cygwin is a Unix like environment that runs on top of windows, in particular it allows us to use the GNU Compiler Collection (GCC) to compile our programs.
To install GCC on Windows XP, visit the link in Related Links section. The link shows a good and step by step tutorial.
(The MinGW environment is an alternative way to run gcc on Windows. Unlike Cygwin, it does not provide a POSIX environment.)