2010/12/27 John E. / TDM
Without seeing the command, my best guess is that the search path ld should be using to resolve that object file isn't being translated to the actual Windows directory path -- I vaguely recall that happening to me before.
These days, I make a point of building GCC in "identity" mounts, where the Unixy path ("/mingw") directly corresponds to the underlying Windows path ("C:\mingw"). This shouldn't be strictly necessary, but I suspect there are some gotchas that can be avoided that way. To change your /mingw to an identity mount, move E:\Temp\mingw\msys\1.0\mingw to E:\mingw, and edit your E:\Temp\mingw\msys\1.0\etc\fstab accordingly.