Installation Problems with GNU-WIN32

["Jeff Smathers" <jsmat at roman dot net>]

 I am new to GNU (sorry about that). I am planning to take Jesse Liberty's class on C++ at ZD University. I run Win95 on a P-166 Intel box with 24Meg RAM. I am also using MS IE4.0.  I have followed the install directions to the best of my ability including set the path setting and the environment variables.  I have installed version 18 (or is it 1.8?). 

I get this message: "GCC.EXE: installation problem, cannot exec 'cpp'. No such file or directory. I know that that is supposed to mean I have not set the GCC_EXEC_PREFIX variable correctly. However, when I run SET I can see this (among all the other variables) "GCC_EXEC_PREFIX=D:\gnuwin32\b18\H-i386-cygwin32\lib\gcc-lib\.

So, I am stumped. I have searched various places for help but cannot get beyond the basic directions.  Can someone tell me where to look (or exactly what is wrong)?

TIA.....Jeff Smathers