Yes is not related to CB but I hope devs will forgive me....
The package you used is old ( 1.8 ) It should compile but is old. I'm using the following steps
1) for GCC
Install MSYS from MinGW
http://sourceforge.net/projects/mingw/files/MSYS/Base/download a recent GSL source (1.15) from the official GSL site
set the CFLAGS environment option using in a MSYS shell
CFLAGS="-O2 -fexceptions -mthreads -DHAVE_INLINE -DGSL_DISABLE_DEPRECATED -DGSL_RANGE_CHECK=0"
export CFLAGS
using the command shell do the usual four steps
a) ./configure --disable-shared (read the doc to add some compilation options)
b) make
c) make check
d) make install
"make check" is a testing set of programs. Usually the Montecarlo routines fails due to a bug of GCC (GCC 4.7.2 from MinGW is OK it has the bug fixed, more recent versions fails). You can ignore the fails or edit the Makefile in the Monte directory adding -ffloat-store to the CFLAGS after the configure step.
Copy the header files from /usr/local/include ad the library file from /usr/local/lib to a more convenient directory.
This is the procedure I'm using since years, it works. It's also possible to use the cygwin environment (instead of using MSYS) but I never used cygwin and I don't know if there is any difference.
2) for Visual C++ or INTEL use
http://gladman.plushost.co.uk/oldsite/computing/gnu_scientific_library.phpHope this helps
Max