You could use cygwin's cc/gcc, or the Watcom opensource compiler.

[Watcom used to be a commercial compiler which ceased and has
become an open project].

But listen to people who've experienced the options. [Not I].

Cheers, Tom.
  ----- Original Message ----- 
  From: Petar Milin
  To: R-HELP
  Sent: Tuesday, May 31, 2011 9:43 PM
  Subject: [R] Compiling C-code in Windows


  Hello ALL!
  I am an Linux user (Debian testing i386), with very dusty
  Win-experience. Nevertheless, my colleagues and I are making some
  package in R, and I built C-routines to speed up things.
  I followed instruction how to compile C for R (very useful link:
  http://www.stat.lsa.umich.edu/~yizwang/software/maxLinear/noteonR.html,
  and links listed there). Everything works like a charm in Linux. I have
  *.so and wrapper function from R is doing a right call.
  However, I wanted to make *.dll library for Win-users. Now, I used my
  colleague's computer with Win XP on it, and with the latest R. In MS-DOS
  console, I positioned prompt in 'C;\Program Files\R\R-2.13.0\bin\i386\',
  and then I run: 'R CMD SHLIB C:\trial.c'. However, nothing happened, no
  trial.dll, nothing. Then, I tried with: 'R CMD SHLIB --output=trial.dll
  C:\trial.c', but no luck, again.
  Please, can anyone help me with this? Can I use: 'R CMD SHLIB
  --output=trial.dll C:\trial.c' under Linux, and expecting working DLL?

  Best,
  PM

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