MinGW GCC has issues on Vista. No real fix, but there is work arounds.
Below code is from RosBE.cmd an cmd file from ReactOS Build Environment, it might help you or it might not.
:: Set all paths (needed by Windows Vista)
set C_INCLUDE_PATH=%ROSBEBASEDIR%\3.4.5\include;%ROSBEBASEDIR%\3.4.5\lib\gcc\mingw32\3.4.5\include
set CPLUS_INCLUDE_PATH=%ROSBEBASEDIR%\3.4.5\include;%ROSBEBASEDIR%\3.4.5\include\c++\3.4.5;%ROSBEBASEDIR%\3.4.5\include\c++\3.4.5\mingw32;%ROSBEBASEDIR%\3.4.5\lib\gcc\mingw32\3.4.5\include
set LIBRARY_PATH=%ROSBEBASEDIR%\3.4.5\lib;%ROSBEBASEDIR%\3.4.5\lib\gcc\mingw32\3.4.5
Tim S