HOWTO Install the MinGW (GCC) Compiler Suite | MinGW
Use the MinGW installer to get everything set up in the proper directories. Then if you want version 4.4, download gcc-full-4.4.0-mingw32-bin-2.tar.lzma from the MinGW Sourceforge download page. You can decompress and unarchive using 7za from the 7zip web...