know how to install GMP properly for usage by programs ?

[Jasper]

Hello pythoners I followed the directions on how to install GNU GMP
for windows (below and on the URL) 
http://www.cs.nyu.edu/exact/core/gmp/  and I don't notice any
performance gain..in Perl one is supposed to place this in the code:
use Math::BigFloat lib => 'GMP';

But I notice zero difference in calculation speed..I realize this is a
python board, but I am wondering if there is anyone who knows how to
verify installation, or any tricks to ensure the library is actually
being used, like executing the program in the GMP directory or
something..  any tips would be appreciated..
Thank you,
Jasper Marzin
******************
Installing GMP on Windows:
Install latest Cygwin. Make sure that you choose to install "gcc",
"m4" and "make" since the default installation doesn't include them.
Download latest GMP from GNU MP to ${gmp_download}. 
Run "Cygwin Bash", unzip and untar GMP into ${gmp_build} using
following command:
  cd ${gmp_build}
  tar xzvf ${gmp_download}/gmp-x.x.x.tar.gz
Configure GMP for compilation: 
  cd gmp-x.x.x
  ./configure --prefix=${gmp_install}
Build GMP: 
  make
Install GMP header files and lib files: 
  make install