Please do note that windres has to be able to call gcc sometimes (for preprocessing).
If you happen to use the gcc 4.2.1 version of MinGW, then you should copy (or hardlink, if you use XP/Vista) mingw32-gcc-DW2 (or -SJLJ) to gcc, else windres will fail. You can do that for all of the mingw32-foobar-DW2/SJLJ programs for simplicity, but gcc is necessary if you want to use windres.
In the older 3.4 build, MinGW team has already done that, but it seems that this was forgotten in the 4.2.1 build. It isn't a big issue, but it's one thing that can be the cause of many headaches, as the error "CreateProcess failed (Error 0)" is not really helpful if you don't know...