I took a whack at this, but unfortunately, Gosu seems to be using some Windows API calls that have been depreciated since the late 90s. Visual C++ allows it; MinGW does not.
(See: SHGetSpecialFolderPath (added to Windows API with IE 4.0), possibly others.)
The only thing currently keeping me from jumping on Gosu for my project is disgust at the requirement of a different audio library for every platform. FMOD for Windows, SDL_Mixer for Linux, OpenAL for Macintosh. Not only do both SDL_Mixer and OpenAL work on all three platforms, Gosu for Windows is not open source, due to including the proprietary FMOD. I cannot think of any possible reason for these ridiculous conditional dependencies.
I want a very, very good reason. Why would the Gosu development team make such a seemingly stupid and pointless decision, that makes Gosu so unappealing?