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README for Win32
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If you just want to use LyX, get the official Windows installer and
use that. More detailed help can be found on the wiki at 
http://wiki.lyx.org/Windows.

If you want to compile LyX yourself, there are a number of ways to do
that.

LyX has been ported to Win32 using three different compilers:
Microsoft Visual Studio C++ compiler (VC). MinGW gcc, or Cygwin gcc.

There are also three different build solutions avaiable: Scons, Cmake
or using the traditional Unix autoconf machinery.

INSTALL.scons covers how to build using SCons, using any of the three
compilers.

development/cmake/README.cmake explains how to build using CMake. This
is especially good with VC, because it produces real .sln files.

See INSTALL.win32 for info about how to build using Cygwin.

Joost has prepared a .zip package with most of the stuff that you'll
need to compile LyX yourself. Get that from 
ftp://ftp.lyx.org/pub/lyx/contrib/lyx-windows-deps-msvc.zip.
Unzip in c:\program files\ and rename the directory to gnuwin32, and 
you will find that the CMake solution works almost out of the box,
if you have Visual Studio.