For Windows users, you need to install GNUstep Core and MSYS System.

Command example: gcc -o hello hello.m  -fconstant-string-class=NSConstantString -I C:/GNUstep/GNUstep/System/Library/Headers/ -L C:/GNUstep/GNUstep/System/Library/Libraries/ -lobjc -lgnustep-base

Reference:
http://www.ultraedit.com/help/article/tool-configuration-command-1494.html
http://www.gnustep.org