Windows CE's only supported compiler is MSVC 2005 WinCE 5.0 Standard (x86, pocket, smart, mipsii) or MSVC 2008 WinCE Embedded 6.0 Professional depending on version.
The includes from MingW should be a direct parallel to something in the Windows API. As I understand it, Win CE has a cut down API, so if you use something from the full Windows API that is not in the Win CE subset then you will have problems regardless of the compiler.
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