The latest version of MinGW-w64 has the necessary headers and libraries: http://mingw-w64.sourceforge.net/
--- a/include/SDL_config_windows.h Thu Dec 20 08:50:36 2012 -0800
+++ b/include/SDL_config_windows.h Sat Dec 22 11:23:18 2012 -0800
@@ -151,12 +151,7 @@
/* Enable various input drivers */
#define SDL_JOYSTICK_DINPUT 1
-#ifdef __GNUC__
-/* There isn't a compatible dinput.h for mingw as far as I know */
-#define SDL_HAPTIC_DISABLED 1
-#else
#define SDL_HAPTIC_DINPUT 1
-#endif
/* Enable various shared object loading systems */
#define SDL_LOADSO_WINDOWS 1