then installed all files from
http://ricardo.ecn.wfu.edu/pub/gretl/winbuild/ and follow the instructions given in NOTE file
there.

When typing "make" in c:\gretl\win32 got the following output with errors, how to solve it???
/bin/sh: pkg-config: command not found
/bin/sh: pkg-config: command not found
/bin/sh: pkg-config: command not found
gcc -Wall -O2 -mms-bitfields -DWIN32 -Wall -o builddate ../builddate.c
./builddate
build.h is current
mkdir -p dlls
mkdir -p plugins
mkdir -p import-libs
gcc -Wall -O2 -mms-bitfields -DWIN32 -c -I. -I../lib/src -I../plugin -I../gui2 -Ic:/mingw/include/libxml2 -I../plugin/zipunzip -I/opt/R/lib/R/include -DUSE_GMP ../lib/src/csvdata.c
../lib/src/csvdata.c:27:18: glib.h: No such file or directory
../lib/src/csvdata.c: In function `utf8_ok':
../lib/src/csvdata.c:1086: warning: implicit declaration of function `g_utf8_validate'
../lib/src/csvdata.c: At top level:
./lib/src/csvdata.c:1827: error: syntax error before '*' token
../lib/src/csvdata.c: In function `label_is_valid':
../lib/src/csvdata.c:1829: error: `s' undeclared (first use in this function)
../lib/src/csvdata.c:1829: error: (Each undeclared identifier is reported only once
../lib/src/csvdata.c:1829: error: for each function it appears in.)
../lib/src/csvdata.c:1832: warning: implicit declaration of function `g_utf8_strlen'
../lib/src/csvdata.c:1833: error: `gunichar' undeclared (first use in this function)
../lib/src/csvdata.c:1833: error: syntax error before "u"
../lib/src/csvdata.c:1836: error: `u' undeclared (first use in this function)
../lib/src/csvdata.c:1836: warning: implicit declaration of function `g_utf8_get_char'
../lib/src/csvdata.c:1840: warning: implicit declaration of function `g_utf8_next_char'
../lib/src/csvdata.c: In function `real_read_labels_and_data':
../lib/src/csvdata.c:1894: error: `gchar' undeclared (first use in this function)
../lib/src/csvdata.c:1894: error: syntax error before ')' token
../lib/src/csvdata.c:1897: error: syntax error before "else"
../lib/src/csvdata.c: At top level:
../lib/src/csvdata.c:1906: error: syntax error before "if"
../lib/src/csvdata.c:1914: warning: type defaults to `int' in declaration of `err'
../lib/src/csvdata.c:1914: error: `drop' undeclared here (not in a function)
../lib/src/csvdata.c:1914: error: `c' undeclared here (not in a function)
../lib/src/csvdata.c:1914: error: initializer element is not constant
../lib/src/csvdata.c:1914: warning: data definition has no type or storage class
../lib/src/csvdata.c:1915: error: syntax error before '}' token
../lib/src/csvdata.c: In function `csv_parsing_header':
../lib/src/csvdata.c:1942: error: `gchar' undeclared (first use in this function)
../lib/src/csvdata.c:1942: error: `trfname' undeclared (first use in this function)
../lib/src/csvdata.c:1942: warning: implicit declaration of function `g_locale_to_utf8'
../lib/src/csvdata.c:1945: warning: implicit declaration of function `g_free'
make: *** [csvdata.o] Error 1