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Success! I finally got SMLNJ and the MLton optimizing compiler to work with Windows. I am very happy about this, as I had been trying for quite a while and ran into various annoying compilation and DLL problems. (Really mlton was the difficult one.) Here's how I did it.:

• Download Sun's VirtualBox VM software.
• Install Ubuntu.
• Use apt-get to install smlnj and mlton.

Seriously. I really think this is the way to do it and I am perfectly happy to launch Linux every time I want to program, it's just so much easier in Linux land. I like cygwin generally, but I have found that if you want to install some software and there's not already a distribution for it, it can make your life miserable. Ubuntu, on the other hand, has like 9 million packages, and even includes obscure stuff like sml. Problem solved!