There are some steps you should do only once for all of the backends. These steps are:
1) OpenDBX should work with both MinGW and Cygwin. However, with SqueakDBX, you must use MinGW. So, this tutorial suppose you are using it.
MinGW: A collection of freely available and freely distributable Windows specific header files and import libraries, augmenting the GNU Compiler Collection, (GCC), and its associated tools, (GNU binutils). MinGW provides a complete Open Source programming tool set which is suitable for the development of native Windows programs that do not depend on any 3rd-party C runtime DLL.
Install minGW and configure your path variable. To do this, you can see these links:
In this tutorial I assume you have installed it in c:msys.
2) Now you must install MSYS: A Minimal SYStem providing a POSIX compatible Bourne shell environment, with a small collection of UNIX command line tools. Primarily developed as a means to execute the configure scripts and Makefiles used to build Open Source software, but also useful as a general purpose command line interface to replace Windows cmd.exe.
See this links: