Hmmm. What are you trying to compile? I don't have much experience with mingw, I try to target compilers in their native OS.
Discussion
It seems to be a bug in Haskell secp256k1 C bindings. Some linking issue on Windows, I don't fully understand it yet. I may have a PR ready by tomorrow.
https://github.com/haskell-bitcoin/libsecp256k1-haskell/pull/10
Wanna review? I'm not a C expert.