Need help getting started

Maybe I'm a little thick, but I don't know how to get applications 
installed with GNUStep under Windows XP. I downloaded and installed the 
console (MSYS), but I don't know how to proceed from there. I downloaded 
a couple of programs to compile and install, but I don't know what to do 
with them. I thought I should place them in the C:\GNUStep folder 
somehere and then I would compile from the command line, but they don't 
show up anywhere inside the console. I've looked at the getting started 
guide, but it was no help, so I'm stuck with only the console installed.
Any pointers appreciated.
Thanks