|The Glasgow Haskell Compiler User's Guide, Version 6.2|
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By default GHC builds applications that open a console window when they start. If you want to build a GUI-only application, with no console window, use the flag -optl-mwindows in the link step.
For some reason, Mingw ships with the readline library, but not with the readline headers. As a result, GHC (like Hugs) does not use readline for interactive input on Windows. You can get a close simulation by using an emacs shell buffer!