Ok, next step, I tried MSYS with
./configure and
make.
After running for a while, it failed and showed the message "Please use the stock ACE build procedure detailed in the file 'ACE-INSTALL.html'.
And Io and behold, there is a section on how to build that package with MSYS and MinGW

So, you have to download the MSYS package (in case you don't have that yet), and follow the instructions in the ACE-INSTALL.html document. I haven't tried those because it is a bit lenghty, but I guess you will get along with that
