GCC for Windows is provided by two projects currently. They both provide a very own implementation of the Windows SDK (headers and libraries) which is necessary because GCC does not work with Visual Studio files.
The older mingw.org, which @Mat already pointed you to. They provide only a 32-bit compiler, and the latest version is GCC 4.5 as of the time of this writing. See here for the downloads you need:
- Binutils is the linker and resource compiler etc.
- GCC is the compiler, and is split in core and language packages
- GDB is the debugger.
- runtime library is required only for mingw.org
- You might need to download mingw32-make seperately.
- For support, you can try (don't expect friendly replies) email@example.com
The newer mingw-w64, which as the name predicts, also provides a 64-bit variant. It is superior in every way to #1 above. You can install with an installer, or find the toolchain files for 32-bit and 64-bit yourself. Alternatively, you can use MSYS2 which provides a huge amount of prebuilt binary packages installable through a package manager, pacman. Note that the MSYS2 toolchains work outside of the MSYS shell just fine; using it as a package manager only is possible. A third option is to use Qt's MinGW packages, which come bundled with a toolchain. For support, send an email to firstname.lastname@example.org or the forum via sourceforge.net.
There are a lot of "non-official" toolchain builders, one of the most popular is TDM-GCC. They may use patches that break binary compatibility with official/unpatched toolchains, so be careful using them. It's best to use the official releases (or in the case of mingw-w64, the Personal builds are easier to get started with).
Re the other answer: Cygwin/MSYS != GCC. Using GCC does not require the other. Plain users shouldn't be compiling GCC. That process is waaay to involved and time-consuming. Enough binary distributions floating around...