Download the MinGW installer from http://www.mingw.org/wiki/HOWTO_Install_the_MinGW_GCC_Compiler_Suite. (As of this writing, the download link is a bit difficult to find; it’s under “About” in the menu on the left-hand side). You want the file entitled “Automated MinGW Installer” (currently version 5.1.4).
Run it and install MinGW. Only the basic package is strictly needed for Cython, although you might want to grab at least the C++ compiler as well.
You need to set up Windows’ “PATH” environment variable so that includes e.g. “c:\mingw\bin” (if you installed MinGW to “c:\mingw”). The following web-page describes the procedure in Windows XP (the Vista procedure is similar): http://support.microsoft.com/kb/310519
Finally, tell Python to use MinGW as the default compiler (otherwise it will try for Visual C). If Python is installed to “c:\Python26”, create a file named “c:\Python26\Lib\distutils\distutils.cfg” containing:[build] compiler = mingw32
The [WinInst] wiki page contains updated information about this procedure. Any contributions towards making the Windows install process smoother is welcomed; it is an unfortunate fact that none of the regular Cython developers have convenient access to Windows.