Thanks ollydbg,
I fixed it, the problem was missing packages.
If someone will have installation problems with this release, here is a Python script
for a working installation, you can also check that for the required packages:
#!/usr/bin/env python
import tarfile
files = [ 'binutils-2.19.1-mingw32-bin.tar.gz',
'gcc-core-4.4.0-mingw32-bin.tar.gz',
'gcc-core-4.4.0-mingw32-dll.tar.gz',
'gcc-c++-4.4.0-mingw32-bin.tar.gz',
'gcc-c++-4.4.0-mingw32-dll.tar.gz',
'gmp-4.2.4-mingw32-dll.tar.gz',
'mpfr-2.4.1-mingw32-dll.tar.gz',
'pthreads-w32-2-8-0-src.tar.gz',
'mingwrt-3.15.2-mingw32-dev.tar.gz',
'mingwrt-3.15.2-mingw32-dll.tar.gz',
'w32api-3.13-mingw32-dev.tar.gz',
'mingw32-make-3.81-20080326-3.tar.gz',
'gdb-6.8-mingw-3.tar.bz2',
'mingw-utils-0.3.tar.gz']
for file in files:
print 'Extracting', file
tar = tarfile.open(file)
tar.extractall('C:\MinGW')
tar.close()
print 'Done'