Free distributions of Lisp and Scheme are typically developed on Linux and work fully under Microsoft Windows only if Cygwin or Msys-mingw are installed to support them. This situation is probably fine for someone who already uses these shells for other free software packages. But not so great if one needs to install one of them for the sake of trying a Scheme or Lisp executable.
The authors and maintainers of Cygwin and Mingw deserve appreciation for providing their software. Nevertheless, this author has been frustrated while trying to use them consistently on different Windows computers. Part of the problem is that Windows is not a friendly environment for Unix-type tool chains.
Gambit-C Scheme offers best performance on Windows when compiled with GCC which in turn need Cygwin or Mingw. This author provides an Openwatcom Makefile for those Scheme enthusiasts who prefer not to use a Unix shell under Windows. Less performance but more convenient workflow.
You first need to obtain a prebuilt version of Gambit. Next, copy wmaker.scm which produces the Makefile when you type "gsi wmaker". Follow the directions on the wiki page for compiling Gambit from source.