It works..!
Installed Cygwin (have been using it for couple of years mainly because of the shell as a superior substitute for Windows cmd.exe but never actually compiled anything) on a new computer, and with it gcc and friends. Opened a shell and did:
$ cat >foo.c
#include <stdio.h>
int main( int argc, char **argv)
{
printf( "Hello, world!\n");
return 0;
}
(Ctrl-d)
$ gcc foo.c -o foo.exe -mno-cygwin
$ ./foo.exe
Hello, world!
The -mno-cygwin flag links againts native Windows libs so that there is no need for a Cygwin installation to be present in a computer that the program is being run on. Gdb worked fine too. How sw33t. Next step is to "port" a program that has been developed with Visual Studio.. should work ok I think.