Il Dev-C++ non ha shlwapi.h/shlwapi.lib
"Dev-C++" HA shlwapi.h e shlwapi.lib

Shlwapi.h inizia così:

codice:
#ifndef _SHLWAPI_H
#define _SHLWAPI_H
#if __GNUC__ >=3
#pragma GCC system_header
#endif

#ifdef __cplusplus
extern "C" {
#endif

#ifndef _OBJC_NO_COM
#include <objbase.h>
#include <shlobj.h>
#endif

#ifndef WINSHLWAPI
#define WINSHLWAPI DECLSPEC_IMPORT
#endif

#define DLLVER_PLATFORM_WINDOWS	0x00000001
#define DLLVER_PLATFORM_NT	0x00000002

#define URL_DONT_ESCAPE_EXTRA_INFO 0x02000000
#define URL_DONT_SIMPLIFY	0x08000000
#define URL_ESCAPE_PERCENT	0x00001000
#define URL_ESCAPE_SEGMENT_ONLY	0x00002000
#define URL_ESCAPE_SPACES_ONLY	0x04000000
#define URL_ESCAPE_UNSAFE	0x20000000
#define URL_INTERNAL_PATH	0x00800000
#define URL_PARTFLAG_KEEPSCHEME	0x00000001
#define URL_PLUGGABLE_PROTOCOL	0x40000000
#define URL_UNESCAPE		0x10000000
#define URL_UNESCAPE_HIGH_ANSI_ONLY 0x00400000
#define URL_UNESCAPE_INPLACE	0x00100000

#ifndef RC_INVOKED
#include <pshpack1.h>
In ogni caso, se proprio vuoi usare MinGW, butta via Dev-C++ e passa a Code::Blocks.