yeah, you have to install it as part of the installation. It's in the Devel category when you're asked which packages you want to install. If you've already got Cygwin installed, just run the installer again, select that additional package, and then proceed with installation as normal. It will simply add the package to your Cygwin install.
Also, what version of UNIX is the host? (AIX, SCO, Solaris, HP/UX, Linux/FreeBSD)? That's important, as each one is an entirely different OS. GCC should have options for each OS for compiling.