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


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