I had no trouble building GRX under w32 (MinGW I presume you mean). But you probably need to alter your makefiledefs.grx. I did it by the following in the system settings:
CC = C:\MinGW\bin\gcc.exe AR = C:\MinGW\bin\ar.exe RANLIB = C:\MinGW\bin\ranlib.exe STRIP = C:\MinGW\bin\strip
or wherever you keep your compilers.
If you are using Dev C++ (which seems pretty good) then you need to set compiler flags as in the "Hello World" part of the use manual. I also set "-mconsole" as a flag to catch my <stdio.h> output.