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Has anyone seen a How To for running it on Windows? Sorry, I don't know Linux. Do I need a different download than one on this site? I searched posts but did not see this answer.
You may be able to find a windows package for it; if not, I'd recommend grabbing minGW with gcc and gnuMake and doing it that way. It is a bit more work than a binary install but there is less chance of someone slipping malicious code in, and it gets you a partially posix complient enviornment for other tools you may want at some point.