Basically you need:
(1) site.cfg or %HOME%\.numpy-site.cfg with the following content: (change the paths according to your installation)
[openblas]
libraries = openblas
library_dirs = D:/devel/packages/openblas/amd64/lib
include_dirs = D:/devel/packages/openblas/amd64/include
OpenBLAS was build with the help of msys2, the successor of msys.
(2) I created an import library for python##.dll in <python>\libs\
I copied python##.dll in a temporary folder and executed: (example for python-2.7)
> gendef python27.dll > dlltool --dllname python27.dll --def python27.def --output-lib libpython27.dll.a
> copy libpython27.dll.a <python_root>\libs\libpython27.dll.a
(3) before starting the numpy build I copied libopenblas.dll to numpy\core\
Actually I rework the overall procedure to allow the installation of the toolchain as a wheel with some postprocessing to handle all this intermediate steps.
Cheers,
Carl