Mgstat for win32 works the same way as under Unix platform: it is a console program, it hasn't any GUI.
The package contains mgstat.exe and few library files (these are Cygwin DLL "which acts as a Linux emulation layer providing substantial Linux API functionality") that are necessary to run it.

You have to unpack mgstat-xx-win32.tar.gz (use for example Windows Commander). Then run mgstat.exe in MS-DOS mode.
If you run it by double click on mgstat.exe you can see only msdos window that will disapear quickly.
Run MS-DOS window first and then manually type mgstat.exe.