You have to install gcc after downloading it. Since you don't have a compiler, you obviously can't use source code to compile it.
Look for a binary
package built for LindowOS 4. It should be on your install CD.
Do you have any idea of what LindowOS 4 uses for a package manager? Have you attempted installing using that?
If you can't find it that way and if you can handle rpm, search rpmfind