Yes, i know there are sources avaiable at: http://ck.kolivas.org/apps/cgminer/3.6/ and https://github.com/ckolivas/cgminer. But I'd like to know, which one to download in order to compile it under windows using MinGW. I think i've downloaded wrong one, because I'm having error saying something about posx threads lib missing, which belongs to linux standard.
There is a port of the posix threads for Windows, search for it. And yes, those are the sources regardless of OS.