Did you follow the instructions from the readme?
From
https://github.com/pooler/cpuminer/blob/master/README:
Basic Windows build instructions, using MinGW:
Install MinGW and the MSYS Developer Tool Kit (
http://www.mingw.org/)
* Make sure you have mstcpip.h in MinGW\include
If using MinGW-w64, install pthreads-w64
Install libcurl devel (
http://curl.haxx.se/download.html)
* Make sure you have libcurl.m4 in MinGW\share\aclocal
* Make sure you have curl-config in MinGW\bin
In the MSYS shell, run:
./autogen.sh # only needed if building from git repo
LIBCURL="-lcurldll" ./configure CFLAGS="-O3"
make
If you already did and you're still having trouble, PM me or post the error message and I'll see if I can help.