Awesome man. That show me that sometimes ask the question is more usefull than searching for hours.... I didn't know that i could not use Windows SDK with MinGW i understand now. windows SDK needs to be with Visual compiler ... Many thanks have a nice Day.

It's all there in the Windows specific documentation

Well, if you've been using it already for so long and you didn't find it frustrating then it's okay, my comment was only for newbies (and you're no longer in that category after months of using it)