Finally I have my own problems with Vista. (I was forced to use Vista as my Notebook is only shipped with preinstalled Vista and I do need Win some time
)
I installed MinGW and tldragons 4.2 directly over it. Adding C:\MinGW and C:\MinGW\bin to %PATH% g++ --version gave the expected result.
But i tried to build the basic Hello World example both with Codeblocks and on the Commandline and it only resulted in a "mingw32-g++.exe CreateProcess: no such file or directory" (on the cmd which I although started as Administrator I used g++ instaed of mingw-g++)
EDIT://
May be important: As I was only able to force Vista giving me 40GB of the HDD ant I need them for my Ubuntu everythings on my C: - Partition
EDIT:// I finally solved it. running MinGW with -v both, on my WinXP-Box and my WinVista-Box gave me the paths that were required to run MinGW.