Heh it's part northern slang part internet/im laziness.

We(yankees) love to refer to our married relatives as "in laws", and then I shorten stuff when online: hence comp.

Doesn't everyone? I certainly know people from England who do.

That one I got.

More or less. I've heard "no worries" before and it's not that hard to know what it means even if you haven't, but "the comp[uter] is with" doesn't even look like a sentence to me.

Nope.
I tried to install Allegro on a Windows virtual machine I made a while back for more or less that purpose, but ran into the same problem you did (using the DX headers linked to in this thread). I may have been able to work around them (I don't remember how, maybe just unzipping the archive again, for some reason), only to hit another problem I didn't feel like following up on at the time.

Not sure if it's a problem with our code or with dodgy MinGW libraries, or a combination of the two...