This page http://docs.python.org/install/index.html#gnu-c-cygwin-mingw 
says: 

"These instructions only apply if you’re using a version of Python 
prior to 2.4.1 with a MinGW prior to 3.0.0 (with binutils-2.13.90-
20030111-1)" 

But it seems that it is still needed for Python 2.6 with MinGW 3.15.2.

Without manually generating libpython26.a I can't compile any python 
extension, geting a bunch of undefined references, for example:

c:\mingw\bin\gcc.exe -mno-cygwin -shared -s build\temp.win32-2.6
\Release\zfec\fec.o build\temp.win32-2.6\Release\zfec\_fecmodule.o 
build\temp.win32-2.6\Release\zfec\_fec.def -LC:\Python26\libs -
LC:\Python26\PCbuild -lpython26 -lmsvcr90 -o build\lib.win32-2.6
\zfec\_fec.pyd
build\temp.win32-2.6\Release\zfec\_fecmodule.o:_fecmodule.c:
(.text+0xefa): undefined reference to `_imp___Py_TrueStruct'
build\temp.win32-2.6\Release\zfec\_fecmodule.o:_fecmodule.c:
(.text+0xf01): undefined reference to `_imp___Py_TrueStruct'
build\temp.win32-2.6\Release\zfec\_fecmodule.o:_fecmodule.c:
(.text+0xf08): undefined reference to `_imp___Py_ZeroStruct'
build\temp.win32-2.6\Release\zfec\_fecmodule.o:_fecmodule.c:
(.text+0xf0f): undefined reference to `_imp___Py_ZeroStruct'
collect2: ld returned 1 exit status
error: command 'gcc' failed with exit status 1

If I do generate libpython26.a - everythong works fine.

It seems this was writen to the docs after a discussion here: 
http://mail.python.org/pipermail/python-dev/2005-October/057717.html

>> As it turns out, MinGW also implemented, in version 3.0.0 (with
>> binutils-2.13.90-20030111-1), features which make the creation of
>> libpython24.a unnecessary

It looks like the current version of mingw sees python26.lib and 
incorrectly uses it.

If i remove python26.lib and place python26.dll instead - mingw uses 
the exports directly from the dll and everything works too (without 
needing libpython26.a).

This should be reflected in the documentation.

What's wrong with using the libpython26.a that is included in the
Windows distribution?

I don't think anecdotal observations should be included in the
documentation; an expert would have to confirm first what the right
procedure is.

It seems that the system I was testing on had the ActiveState python
distribution installed which does not include libpython26.a

I tried installing the official one from python.org and it has
libpython26.a and works fine.

Sorry about opening the bug at the wrong place :(