How to set up GMP multiple precision Arithmetic library

The file that I downloaded, from GNU MP Bignum library's site, is with an extention of .lz or .xz

I don't know how to get the .h file.

• I am using Cfree 5.0 on windows.

Some sites are explaining how to set up gmp but its for other compilers and not for Cfree 5.0 so I expect suggestion/answers.