For your first problem: I suspect that you didn't extract all the files in the archive (that c.vim came in). The c.vim documentation (README.csupport) says:
The subdirectories in the zip archive
cvim.zip mirror the directory
structure which is needed below the
local installation directory
$HOME/.vim/ for LINUX/UNIX
($VIM/vimfiles/ for Windows)
This means that you need to uncompress the entire archive as it is into your vimfiles directory.
There are some other steps to follow, detailed in the documentation.
As for your second issue: you need a Makefile to do that. If you have never done this before, I suggest using cmake to generate a Makefile. You will also need GNU tools for Windows; Cygwin or MinGW are the most popular choices. I haven't use them, it is easier to do all this on some *nix OS :).
When done, use :cd
(if you are not in your working directory), and :make
. Use :cl
to list the compiler output, :cn
to jump to the next error. There are some other useful commands for compiling. You might find these resources useful:
Also, I found the Nerd Commenter a very useful companion.
I found that Vim acts somewhat like alien on Windows; it is designed for an *nix-like operating system. I think it is possible to craft a similar environment for it, and use it mostly successfully, but it is so much easier to do on some linux, as it is "instantly home" there.
Anyway, if you wish to stick with Windows, I think you can find a way to accomplish what you want. Good luck.