I've found I think very good tutorial on how to compile gcc on windows http://www.aristeia.com/Misc/gcc4ForWindows.html#buildinggcc
but I'm stuck on the (surprise, surprise) main point of it, which is building actual gcc. Just to make your life easier, I'm struck here:  
configuring:
   # ../../source/gcc-4.1.1/configure --prefix=/mingw --host=mingw32
   --target=mingw32 --program-prefix="" --with-as=/mingw/bin/as.exe
   --with-ld=/mingw/bin/ld.exe --with-gcc --with-gnu-ld --with-gnu-as
   --enable-threads --disable-nls --enable-languages=c,c++
   --disable-win32-registry --disable-shared --without-x --enable-interpreter
   --enable-hash-synchronization --enable-libstdcxx-debug  
The problem is that nothing's happening after I type this, so obviously I must have done something wrong. Any ideas?
Edit, that is my folders' structure:
/gcc-work/source/gcc
$ ls
ABOUT-NLS           boehm-gc      depcomp    libjava       lto-plugin
COPYING             config        include    libmudflap    lt~obsolete.m4
COPYING.RUNTIME     config-ml.in  intl       libquadmath   move-if-change
ChangeLog           config.rpath  libgomp    libstdc++-v3  zlib
ChangeLog.tree-ssa  configure.ac  libiberty  libtool.m4
Makefile.in         contrib       libitm     ltmain.sh
                Honestly, if I were you I wouldn't go through all that headache!
The most up to date website that offers Mingw with latest gcc version I have found is: http://www.equation.com. Go to their programming tools page, and grab the latest version of gcc. They offer both the latest weekly snapshot and the latest official version.
If compiling a GCC 4.7 (which has not yet being released!) you probably don't have source/gcc-4.1.1/configure which suggest a path for a GCC 4.1.1. So put the right path (to the topmost configure of your GCC source tree).
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