SOURCE: http://www.quantcode.com/modules/smartfaq/faq.php?faqid=10

DOWNLOAD AND INSTALL GSL SOFTWARE

1.Download gsl-1.8.exe from http://sourceforge.net/project/showfiles.php?group_id=23617&package_id=19804
(contains binaries and .lib files)
2.Execute and finish the installation.

Following steps are not necessary, but nice to look at source code examples which will be installed:
3.Download gsl-1.8-src.exe from http://sourceforge.net/project/showfiles.php?group_id=23617&package_id=19804
4.Execute and finish the installation.

HOW TO USE GSL in Dev C++

1.Open Dev C++ and create a new project
2.Click Project->Project Options menu
3.Goto Directories tab
4.Goto "Include Directories" sub-tab
5.Enter C:\Program Files\GnuWin32\include and press Add button
6.Goto Parameters tab
7.Click on button "Add library or object"
8.Navigate and select C:\Program Files\GnuWin32\lib\libgsl.a
9.Click on button "Add library or object"
10.Navigate and select C:\Program Files\GnuWin32\lib\libgslcblas.a
9.Click on button "Add library or object"
10.Navigate and select C:\Program Files\GnuWin32\lib\libgslcblas.dll.a
11.Add the path C:\Program Files\GnuWin32\bin to system runtime, or copy the dlls libgsl.dll and libgslcblas.dll to the location where you want to run your .exe