You need to #define _WIN32_IE with a suitable value (check commctrl.h header to see why). The lowest common denominator value is 0x0400. For code that's portable between compilers:
or, better, define it within the project options, parameters tab, in the 'c++ compiler' field (you might need to use the -D switch ie -D_WIN32_IE=0x0400).
#if defined __MINGW_H
#define _WIN32_IE 0x0400
In addition you must link with the common controls library: project options, parameters tab, add -lcomctl32 to the 'linker' field.
A board search would have helped you here and should provide you with more information regarding this problem.