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.

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?

Have you tried gcc (the windows port)?