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Cygwin

Cygwin emulates a Bash shell for Windows machines. It is extremely useful and fairly easy to set up. It gives you full access to the most common Linux programs, such as GCC?, Vim or Perl interpreters.

Cygwin is a free download from http://www.cygwin.com/. This Lifehacker guide to installing Cygwin is very useful and the contents will not be duplicated here. You may wish to examine the packages being installed to ensure you get what you want - GCC, GDB, Vim, and Emacs are all good choices. You can always re-run Cygwin's setup.exe to add more packages.

Vim under Cygwin

If you want to run Vim under Cygwin, you'll need to configure it from scratch. By default, Vim has some wonky behaviors you'll want to correct right away, and syntax highlighting and auto-indent won't be on either.

You can either add these into your .vimrc manually, or download the file and place it in Cygwin's home directory (By default, it is C:\cygwin\home\USERNAME, although on lab computers it is C:\Documents and Settings\UR_Public\).