I must be missing something. This is on a clean machine - I followed your instructions and downloaded the other packages (w32api, etc) on your website.
I installed MinGW 4.2.1 to C:MinGW-4.2.1
I get several errors about missing files when compiling a basic console app:
-------------- Build: Debug in Test ---------------
Compiling: main.cpp
In file included from c:/mingw-4.2.1/bin/../lib/gcc/mingw32/4.2.1/../../../../include/c++/4.2.1/mingw32/bits/c++locale.h:47,
from C:/MinGW-4.2.1/include/c++/4.2.1/iosfwd:45,
from C:/MinGW-4.2.1/include/c++/4.2.1/ios:43,
from C:/MinGW-4.2.1/include/c++/4.2.1/ostream:45,
from C:/MinGW-4.2.1/include/c++/4.2.1/iostream:45,
from C:\Test\main.cpp:1:
C:/MinGW-4.2.1/include/c++/4.2.1/clocale:51:20: error: locale.h: No such file or directory
Any thoughts?