C++ compiler which I can bundle with my application

I'm working on developing my own programming language, and to generate executables I wished to convert the source to C++ and the run it through a C++ compiler.

Does anybody know of a C++ compiler which I can simply include with my application and then invoke from the command line without installation?

I'm using Windows.

Thanks in advance, Tom.

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Edit: It seems gcc is the way to go and it would be a pain to set up, would people recommend bundling the installation file instead and then installing the compiler as part of the installation of my program?

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Have you tried gcc (the windows port)?