Do you have a .gvimrc file in your home directory ?
if not then create one with the following contents :
" An example for a gvimrc file.
" The commands in this are executed when the GUI is started.
" Maintainer: Bram Moolenaar <Bram@vim.org>
" Last change: 2001 Sep 02
" To use it, copy it to
" for Unix and OS/2: ~/.gvimrc
" for Amiga: s:.gvimrc
" for MS-DOS and Win32: $VIM\_gvimrc
" for OpenVMS: sys$login:.gvimrc
" Make external commands work through a pipe instead of a pseudo-tty
" set the X11 font to use
" set guifont=-misc-fixed-medium-r-normal--14-130-75-75-c-70-iso8859-1
set ch=2 " Make command line two lines high
set mousehide " Hide the mouse when typing text
" Make shift-insert work like in Xterm
map <S-Insert> <MiddleMouse>
map! <S-Insert> <MiddleMouse>
" Only do this for Vim version 5.0 and later.
if version >= 500
" I like highlighting strings inside C comments
" Switch on syntax highlighting if it wasn't on yet.
" Switch on search pattern highlighting.
" For Win32 version, have "K" lookup the keyword in a help file
" let winhelpfile='windows.hlp'
" map K :execute "!start winhlp32 -k <cword> " . winhelpfile <CR>
" Set nice colors
" background for normal text is light grey
" Text below the last line is darker grey
" Cursor is green, Cyan when ":lmap" mappings are active
" Constants are not underlined but have a slightly lighter background
highlight Normal guibg=grey90
highlight Cursor guibg=Green guifg=NONE
highlight lCursor guibg=Cyan guifg=NONE
highlight NonText guibg=grey80
highlight Constant gui=NONE guibg=grey95
highlight Special gui=NONE guibg=grey95
now log out and log back in.
gvim should automatically start highlighting syntax.