Hello Stephen, Fabien,
Thanks to both of you!
It was the folder structure. I re-downloaded the SVN Head revision, rebuilt my builds/msys folders and re-did everything. It now compiles and links... Wonderful!
Now the $64000 question, and I apologise if it's in a FAQ or somewhere I should have found it, but:
How do I get Stellarium to load the HelloStell DLL? I have the module.ini file but can't see where that should go and where it tells Stellarium what file to load... I can't see any evidence of it loading - no "Hello" across the sky, no text in the stderr console...