After extensive help from Pierre and Sebastian, I managed to finally import the pyGSL in Windows.

Since I had extensive help for doing so, I'll try to post a semi-detailed walk through in case it can be helpful for other people.

1 - Download the GSL from the GNU website.

2 - Download minGW with msys - this is important, without it, you'll have to edit the make files.

3 - Compile the GSL with msys.  By default, msys will put all the library files in subdirectories there - these will be c:/minGW/msys/1.0/ - I copied the compiled files and placed them in a C:/GSL/

4 - At this point, I was able to compile pyGSL and build it, but I still wasn't able to import it - I was getting warnings about pyGSL being unable to find the required DLL files.

5 - To import the GSL, I followed the steps suggested by Sebastian, and copied a few extra .DLL files that were NOT placed with the other files in the subdirectory described in 3.

The real names of the dynamic libraries to copy in the python/pygsl directory (after install it)  is libgsl-0.dll,  libgslcblas-0.
dll and libgcc_s_dw2-1.dll. 

libgsl-0.dll and  libgslcblas-0.dll are build with MinGw, they are located in the bin/ directory. If you juste type ./configure , make and make installl, they are here: "C:\"MinGW\msys\1.0\local\bin
The last dll :  libgcc_s_dw2-1.dll is in the directory : "C:\"MinGW\bin

6 - After copying those files, I was able to import and run the tests in the tests subdirectory.  A small note, a few of the tests fail, in particular:


I can dig deeper into those if that's helpful.  The shell didn't leave any useful messages unfortunately.

Thanks everyone for all the help,