Well, you mentioned it was a "port of the GNU compiler collection". What does that mean?
Not that I really need to know, probably, but whatever...
EDIT:
This is something I found after some googling (I didn't understand it before you guys explained to me what Cygwin actually was....):
"The "-mno-cygwin" flag to gcc makes gcc link against standard Microsoft DLLs instead of Cygwin.
This is desirable for native Windows programs that don't need a UNIX emulation layer."
It worked for me (adding -mno-cygwin (no space between) to the linker cmd line options), what do you think?
Here's a link
-mno-cygwin -- Building Mingw executables using Cygwin