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.