I found the cause on my Computer; they are now using the DW2 version of TDM GCC 4.4.1.
After changing compiler it worked OK for me doing it how I think should work; did not really follow the wiki directions.
The values on the Compiler I used which I believe matches TDM GCC 4.4.1 DW2:
gcc version 4.4.1 (TDM-2 mingw32)
GNU ld (GNU Binutils) 2.19.1
GNU windres (GNU Binutils) 2.19.1
GNU dlltool (GNU Binutils) 2.19.1
#define __MINGW32_VERSION 3.16
#define __W32API_VERSION 3.13