Ok, apparently you can't just install mingw, you have to manually do quite a few things before it will work. I have setup its bin directory in my PATH, and it will finally start trying to compile something, but I always get an error such as this:
C:\pdcurses\win32>mingw32-make -f mingwin32.mak
gcc -c -O2 -Wall -IC:\pdcurses C:\pdcurses/pdcurses/addch.c
gcc: installation problem, cannot exec `cc1': No such file or directory
mingw32-make: *** [addch.o] Error 1
I believe this is a problem with the compiler, because I also tried using g++ to compile a program of mine that I know is fine, and I get this:
g++: installation problem, cannot exec `cc1plus': No such file or directory