Hi,
the windows version of php comes with a bundled gd library. Copy the contents of dlls to your system/system32 directory and uncomment the following line in php.ini (in the windows/winnt directory):
;extension=php_gd.dll
Note that php-4.1.0 comes with gdlib 1.x. If you want to use a gd lib version 2.x I'd suggest to upgrade to php-4.3.2 (zip package, not the installer version).