It took a long time to figure out how to turn off the blinking cursor in Gvim. Here are two ways, and all of my other changes to GVim on WinXP.

" MY changes:
:color torte
set nohlsearch
set noincsearch
set shiftwidth=4
set nobackup
set noshowmatch
" Turn off blinking for the n, v, & c states:
let &guicursor = substitute(&guicursor, "n-v-c:", "n-v-c:blinkon0-", "")
" NOTE: To stop all blinking:
" let &guicursor = &guicursor . ",a:blinkon0"
The above is added to the end of the _vimrc file, avoiding any edits to mswin.vim, etc.