Installing DJGPP on Vista might be a bit challenging for you now. I'd recommend that you go with native Windows C compiler, for example, Cygwin or MinGW.
If you insist on trying DJGPP, then go to the DJGPP zip picker and select options as necessary. Pick Windows 2000 or XP for an OS.
The reason why it's better to go with native Windows compiler than DOS-based one such as DJGPP is that DOS support in 2000/XP/Vista is rather buggy and limited. DJGPP developers have done heroic amount of effort to support these OSes, but some of the limitations are unfortunately unavoidable.