Because GMT works best in conjugation with UNIX tools we suggest you install GMT using the Cygwin product from Cygnus (now assimilated by Redhat, Inc.). This free version works on any Windows version and it comes with both the Bourne Again shell bash and the tcsh. You also have access to most standard GNU development tools such as compilers and text processing tools (awk, grep, sed, etc.).
Follow the instructions on the Cygwin pageL.3 on how to install the package; note you must explicitly add all the development tool packages (e.g., gcc etc) as the basic installation does not include them by default. Once you are up and running under Cygwin, you may install GMT the same way you do under any other UNIX platform by either running the automated install via install_gmt or manually running configure first, then type make all. For details see the general README file.