python setup.py build -cmingw32
I get a hole bunch of undefined interface type errors (the computer's at home so I'm going by memory) similar to __Inf__PyString undefined, and it ends off with a line about WinMain@16 with that setup terminates.
This is [..] what you can find in the documentation http://python.org/doc/current/inst/tweak-flags.html#SECTION00062200000000000...
But nobody seems to read it. Maybe the compiler class should check for libpython??.a and print a warning with a link to the documentation.
Another possibility would be to include the appropriate libpython??.a with the Windows version of Python, in order to make developing C extensions easier for open-source developers that are using gcc instead of Microsoft's compiler.