Installing MinGW on Windows

 http://sourceforge.net/projects/mingw/files/Automated%20MinGW%20Installer/mingw-get-inst/mingw-get-inst-20101030/mingw-get-inst-20101030.exe/download

add

 C:\MinGW\bin

to your Path. Then you can do

 mingw-get update

and you will see what you can install from the commandline.

If you get confused between MinGW and CONFIG_WIN32

 http://lists.mplayerhq.hu/pipermail/ffmpeg-devel/2006-July/012761.html