Building the dependencies with MinGW takes an eternity. Not sure where the blame lies (as if it matters), but it is really painful.
Not only that, but they are also huge in terms of file size. After compiling, they are nearly 4 GB. Yes, disk space is cheap, but it's definitely not all necessary.
I think I'll put together a set of minimal binaries for the dependencies for Windows + MinGW. No reason to go through all that unnecessarily.
As for missing .h files, double check the path names in the include path (-I on the command line) and double check that they exactly match the names of the directories on your file system. Watch for subtle differences like dots instead of underscores or dashes.
First issue, the speeds, is due to windows not supporting the fork and exec model the unix tools use and the emulation of it being slow. The second is due to the everything being build in debug mode.