Darkplaces needs these files which do not come in the standard mingw installation, nor are supplied with darkplaces itself:
include/GL/gl.h (can be obtained in the opengl download hidden away on the microsoft website)
include/ddraw.h (part of DirectX)
include/dinput.h (part of DirectX)
include/dsound.h (part of DirectX)

Assuming you placed mingw in c:\mingw, you can simply type this to compile:
make exerelease