I've been looking at how to do this, but haven't found out how to make a
tar.exe that will run in a dos cmd shell.
I am not sure what version it is, but if a precompiled executable would
suit, try
mirror.ctan.org/systems/texlive/tlnet/tlpkg/installer/tar.exe. Source
at http://tug.org/texlive/devsrc/Master/source/tar-w32.zip (among other
places).
Do I need to compile on a non-cygwin system using non-gnu compiler?
I believe that executable was indeed made with a Windows compiler :(.
If you need to compile it yourself, the only other option I can think of
is mingw32. I had the impression it had the goal of providing "native"
exe's without such dependencies, although I am far from sure.
Good luck,
Karl