help with compiler

which compiler do you use?

I'm using cygwin and I have a major problem compiling my project work.
For those who use cygwin, can you tell me where to put the .h, .o and .script files I got for my project?

Here is a sreenshot of my problem... I might just be freaking out coz I have not yet fill the function...

http://www.freewebs.com/yan_kong/compiler.jpg

Please help if possible