I am trying to get gmp running on my system.

cygwin ver 2.457.2.2 with windows XP.
gcc-g++-3.4.4-1
gmp-4.1.4

gcc was downloaded and installed thru cygwin
it appears to be working OK

gmp was downloaded from swox
  I didn't find it at cygwin; is it there?
gmp was installed using ./configure
followed by a make
make check gave all passes

I tried the following program  "progname"

  #include <stdio.h>
  #include <gmp.h>

  main()
  {
    mpz_t n;
    mpz_init(n);
  }

c++   -I/gmp-4.1.4   progname

I had to use the -I option for c++ to find the gmp.h file
  Could I have installed it differently to avoid this?

The above resulted the error: undefined reference to '___gmpz_int'
I tried using -L/libgmp.la without any change

What am I doing wrong?
Is there a better way to install gmp?
I am not a systems person; just a c++ user that would like to have gmp.