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MinGW users, see that page.
If you have a choice, Cygwin is strongly recommended. The setup program is very self-explanatory. As a warning, it will probably take up >300MB on your system. You should install at least the following programs:
startx
to bring up a more usable, nice-looking terminal (and the ability to do a few thousand other things which are beyond the scope of this documentation). Once you have Cygwin installed and a good terminal running, you can follow along with the remainder of the discussion without modification.Sqlite3 is difficult to build from scratch, but you can get a packaged version by pointing Cygwin's install program to the Cygwin Ports site: http://cygwinports.dotsrc.org/ .
Second, some older (but still pretty recent) versions of Cygwin have a search.h file which doesn't include the function lsearch(). If this is the case on your system, you will have to update your Cygwin installation.
Finally, windows compilers often spit out lines like:
These lines are indeed just information, and not errors. Feel free to ignore them.
[Thanks to Andrew Felton and Derrick Higgins for their Cygwin debugging efforts.]