GDAL Tile Indexing

[Kevin Grootendorst]

Hi,
I want to be able to create a raster tile index for a series of tif files.
I know that GDAL can do this, and I've come across documentation for doing
it.  My problem is that I'm not sure how to setup/install GDAL. I've
downloaded gdal126.zip from http://dl.maptools.org/dl/.
Can anybody point me to a specific reference that illustrates how to
extract/setup/configure GDAL?
Using MS 4.2 on Win 2000.

Thanks.

Kevin