In restricted environments, e.g. school/work, it is often not possible to install/run cygwin or msys. Using mingw under windows, there's no way to use the included makefiles to properly update extensions and build glew from source. It would be nice if a mingw compatible binary release was made available, or, at least a mingw32-make.exe compatible makefile included.
As of GLEW 2.0.0 the Makefile build for Mingw32 is working well, AFAIK. Closing.
If someone did the legwork of setting up a Windows AppVeyor, I'd seriously consider incorporating that.