Don't know about using any other version of MinGW except the version Mark has suggested, but if you want to compile modules on Vista follow the instructions in the first post here:
I have, about five times! :)
It did work when I first used Vista (With them instructions), but I reinstalled it along side a new installation of XP.
Then Vista was on C:, now its on J:... And I've done nothing different!?!
EDIT:Or so I thought... Just done what Amon mentioned, moved cc1,ccobj and ccplus to the bin folder... Works a charm now! D'oh
Dabz