I've got 13.3 on Windows 11 (22H2) and a gnu compiler suite under WSL2 (Arch). Seems it is possible to compile in Windows with VS Code (which I also have). Do I still need to install another C compiler in Windows per se to use CompilationTarget -> C
in Mathematica?
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Do I still need to install another C compiler in Windows
Yes. You need a compiler that targets Windows, not Linux.