There is no official FindGSL.cmake module in the cmake distribution to “automagically” find the Gnu Scientific Library on Windows, Linux and Mac OS X. I have written such a module which works for my configurations, but might not cover all GSL installation on all OS. But you can modify it to fit your needs.
The GDI+ library is mandatory for wxGraphicsContext support on Win32. This is no problem if you’re using Visual C++, since the SDK provides the headers and import libraries, but for MinGW there are no such headers and import libraries provided. But there are some sources on the internet where you can get the necessary files.
The binaries for GSL 1.12 are provided in this post: MinGW (3.4.5) binaries of GNU Scientific Library 1.12 for use with MinGW and Visual C++
“The GNU Scientific Library (GSL) is a numerical library for C and C++ programmers. The library provides a wide range of mathematical routines such as random number generators, special functions and least-squares fitting. There are over 1000 functions in total with an extensive test suite”.
GSL is quite Unix centric but one might want to use the library at least with MinGW on Windows. I didn’t find any MinGW binaries of GSL apart from the one provided by the Ascend package or the binaries from GNUWin32 (which is only at version 1.8), but I don’t like graphical installers for libraries and I needed the static library. Therefore I compiled my own library with MSYS (I updated MSYS according to this link) and provide here the tarred binary package, which can also be used with the MinGW compiler without MSYS and with Visual C (import libraries for the shared library are provided).