yeah, that's my guess too. The reason I got suspiscious about the "mingw_for_mame" is that it's not in the main download page anymore, so I worried that it might be outdated.
But the way in the link I mention above (EmuChrist) you should ignore the last bit about extracting the MAME32 source on top of the MAME source since I assume that everyone here doesn't want MAME32

A few mistakes not to make:
I would have preferred to install MingW in c:\Program Files\MingW (in fact I did the first time

) but the makefile doesn't appear to know how to deal with path names that have spaces in them. I ended up re-installing in the default c:\MingW.
If you have a DOS box up before you change the path environment variable, you need to close it and open a new one: the DOS box loads its environment at startup and will not register any changes after that.
Edit:
Also, these instructions basically "take over" the development environment on yur machine. That's fine if you're not a programmer but I'd rather not permantly map "make" to the mingw (GNU) version, so i will remove the path from my path and write a batch file that fixes the path before I build MAME, just not in a permanent way.
All in all, easy as pie... (well, it's still building

)