diff --git a/appveyor.yml b/appveyor.yml
index 6cfc4968..7830c5c7 100644
--- a/appveyor.yml
+++ b/appveyor.yml
@@ -1,8 +1,8 @@
 # AppVeyor config using https://github.com/Chris00/ocaml-appveyor
 
 install:
-  - appveyor DownloadFile "https://raw.githubusercontent.com/Chris00/ocaml-appveyor/master/install_ocaml.cmd" -FileName "C:\install_ocaml.cmd"
-  - C:\install_ocaml.cmd
+  - cd "%APPVEYOR_BUILD_FOLDER%"
+  - install_ocaml.cmd
 
 build_script:
   - cd "%APPVEYOR_BUILD_FOLDER%"
diff --git a/install_ocaml.cmd b/install_ocaml.cmd
new file mode 100644
index 00000000..372ec8e0
--- /dev/null
+++ b/install_ocaml.cmd
@@ -0,0 +1,36 @@
+REM Download and install OCaml and flexlink (unless it was already done).
+REM Prepare the environment variables,... to use it.  OCaml is installed
+REM at %OCAMLROOT%
+REM
+REM If you are using Cygwin, install it in C:\cygwin first and then
+REM execute this script.  Execute bash with the option "-l".
+
+REM set OCAMLROOT=%PROGRAMFILES%/OCaml
+set OCAMLROOT=C:/PROGRA~1/OCaml
+
+set OCAMLURL=https://github.com/Chris00/ocaml-appveyor/releases/download/0.1/ocaml-4.03.zip
+
+REM Cygwin is always installed on AppVeyor.  Its path must come
+REM before the one of Git but after those of MSCV and OCaml.
+set Path=C:\cygwin\bin;%Path%
+
+call "C:\Program Files\Microsoft SDKs\Windows\v7.1\Bin\SetEnv.cmd" /x64
+
+set Path=%OCAMLROOT%\bin;%OCAMLROOT%\bin\flexdll;%Path%
+set CAML_LD_LIBRARY_PATH=%OCAMLROOT%/lib/stublibs
+
+set CYGWINBASH=C:\cygwin\bin\bash.exe
+
+if not exist "%OCAMLROOT%/bin/ocaml.exe" (
+  echo Downloading OCaml...
+  appveyor DownloadFile "%OCAMLURL%" -FileName "C:\PROGRA~1\ocaml.zip"
+  %CYGWINBASH% -lc "cd /cygdrive/c/Program\ Files && unzip -q ocaml.zip"
+  del C:\PROGRA~1\ocaml.zip
+)
+
+if exist %CYGWINBASH% (
+  REM Make sure that "link" is the MSVC one and not the Cynwin one.
+  %CYGWINBASH% -lc "eval $(/cygdrive/c/Program\ Files/OCaml/tools/msvs-promote-path)"> ~/.bash_profile"
+)
+
+set <NUL /p=Ready to use OCaml & ocamlc -version