Configure GCC compiler over windows - Cygwin

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Cygwin

I have installed Cygwin on my system and tried to install one module called GMP libs using my cygwin. So while installing using cygwin I got the following error message:

$ ./configure
checking build system type... i686-pc-cygwin
checking host system type... i686-pc-cygwin
checking for a BSD-compatible install... /usr/bin/install -c
checking whether build environment is sane... yes
checking for a thread-safe mkdir -p... /usr/bin/mkdir -p
checking for gawk... gawk
checking whether make sets $(MAKE)... no
checking whether to enable maintainer-specific portions of Makefiles... no
checking ABI=32
checking compiler gcc -m32 -O2 -pedantic -fomit-frame-pointer ... no
checking compiler gcc -O2 -pedantic -fomit-frame-pointer ... no
checking compiler icc -no-gcc ... no
checking compiler cc -O ... no
configure: error: could not find a working compiler, see config.log for details

So after that I downloaded the gcc-2.7.2.3/ module
and tried to configure that using ./configure command but it seems it requires some parameter to be passed with the command like ./configure --host=* something.

So can you please tell me which command I need to run for that or suggest to me the configuration steps. I want to install in my local system such that I can install the GMP module and other stuff.