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.