Here's how I add the environment variable permanently in Windows XP (I'm hoping it's the same in Win2k):
Control Panel->System->Advanced tab->Environment Variables->System Variables->Path->EDIT
Add the following to the end of the environment variable:
; c:\mingw\bin\
If that doesn't work, then make sure that the make command is in the c:\mingw\bin directory. If it isn't then you messed up when you installed the compile environment. To install it, you just need to download the 4 Win32 compile utilities, and install them in the MinGW directory 1 on top of the other.