If you want to use the native CPLEX or OSL interface (without downloading COIN) or a solver other than CLP:
Note that there is some functionality missing from the Windows version. Most prominently, the timing functions do not work. This functionality should be easy to add--let me know if you are interested in doing it and I will give you all the help I can. In addition, the Windows version will only run in sequential mode for a variety of reasons. However, it should be relatively easy to get it running in parallel if you can get PVM working under Windows. Let me know if you are interested.