What exactly is the gnu that the docs say to download

i just bought a 1.7 g P4 and run win98, could someone tell me where to put this gnu thing in plain english , and or do i even need it? And what is it for? I basicly did with it like the nasm thing but am usure if that is correct (i put it in my c: directory and added to tools/options/directorys/executablefiles

like i say i dont know if that is right or not.

thanks