I guess you have installed upp package without mingw. If so, you should have mingw installed on your box. Download it from MinGW site or you can download and install upp package with mingw bundled.
For detailed info about configuring paths please RTM.
Edit: I believe we should post from time to time a message with link to Manual, because so many people are missing it. I've missed it too, you can see it from my earlier posts . I've asked questions which have response in manual.
So everybody RTM, RTM ! Read The Ultimate(++) Manual. (We should provide RTUM acronym? )