Compiling for windows using gcc and --std=C++0x breaks BenchTimer.h. BenchTimer uses the WIN32 symbol; that symbol is apparently actually supposed to be _WIN32 (and been supported as such forever), but WIN32 works for compatibility reasons, reasons gcc breaks in C++0x mode.
I posted a bug&patch at http://eigen.tuxfamily.org/bz/show_bug.cgi?id=238 but that isn't getting any responses. The patch is truly trivial; fixing this would make it a little easier to use BenchTimer.h in C++0x projects.