I found that someone want to build glpk with GMP under windows just as I did. The following way works. Enjoy it! 1. The files needed to build glpk with GMP: gmp.h, gmp.lib. See http://cs.nyu.edu/exact/core/gmp/. 2. Copy gmp.h to the 'include' folder, gmp.lib to the building folder 'w32'. 3. Add '#define HAVE_GMP_H' before '#ifdef HAVE_GMP_H' in glpgmp.h to make the complier use GNU MP library. 4. Add '#pragma comment(lib, "gmp.lib")' at the front of glpk.h. 5. Rebuild the source with Build_GLPK_with_VC6.bat.