The program that you ask for is similiar to cygwin or more accurately said as cygwin. Cygwin is a Win32 compatible that needs just install and run the application. You can check www.cygwin.com for more informations/downlaods.
Linux is prononunced as Linux " Lee+nux " Might be vary with the languages but no matter how you spell it, its doesnt have so many diffrences.