:: Get and install MinGW-w64 32 bits: http://downloads.sourceforge.net/project/msys2/Base/i686/msys2-i686-20150916.exe

pacman -S mingw-w64-i686-gcc
pacman -S make
pacman -S wget
pacman -S tar
pacman -S mingw-w64-i686-curl
pacman -S mingw-w64-i686-libgcrypt
:: add path "C:\msys32\mingw32\bin" (without quotes) into %PATH% enviroment variable
cd ~
wget -c http://ftpmirror.gnu.org/libmicrohttpd/libmicrohttpd-0.9.50.tar.gz
tar -zxvf libmicrohttpd-0.9.50.tar.gz
cd libmicrohttpd-0.9.50/
CFLAGS='-Os -s' ./configure
:: You will see a report like:
:: ...
:: configure: libmicrohttpd 0.9.50 Configuration Summary:
::   Cross-compiling:   no
::   Operating System:  mingw32
::   Threading lib:     w32
::   libcurl (testing): yes
::   Target directory:  /usr/local
::   Messages:          yes
::   Basic auth.:       yes
::   Digest auth.:      yes
::   Postproc:          yes
::   HTTPS support:     yes (using libgnutls and libgcrypt)
::   poll support:      no
::   epoll support:     no
::   build docs:        yes
::   build examples:    yes
::
:: configure: HTTPS subsystem configuration:
::   License         :  LGPL only
make
make install-strip
:: Finally, get compiled shared library at "C:\msys32\usr\local\bin\" and enjoy it! :-)

:: If you want to rebuild MHD, do:
::
:: $ make clean
:: $ CFLAGS='-Os -s' ./configure
:: $ make -j8
:: $ make install-strip