Thanks for the excellent post.
I have followed your MinGW way on my winXP machine (activestate python 2.5.1). When I built pyXML, I got the errors attached below.
It looks like the the problem is at the linking with python libraries, but I have verified "-LC:\Python25\libs" is used and "C:\Python25\libs\python25.lib" exists. Did I miss something?

Thanks.

E:\Downloads\PyXML-0.8.4>python setup.py build
running build
running build_py
running build_ext
building '_xmlplus.parsers.pyexpat' extension
creating build\temp.win32-2.5
creating build\temp.win32-2.5\Release
creating build\temp.win32-2.5\Release\extensions
creating build\temp.win32-2.5\Release\extensions\expat
creating build\temp.win32-2.5\Release\extensions\expat\lib
X:\app\win32\MinGW\bin\gcc.exe -mno-cygwin -mdll -O -Wall -DXML_NS=1 -DXML_DTD=1
-DBYTEORDER=1234 -DXML_CONTEXT_BYTES=1024 -DHAVE_MEMMOVE=1 -DXML_STATIC= -Iexte
nsions/expat/lib -IC:\Python25\include -IC:\Python25\PC -c extensions/pyexpat.c
-o build\temp.win32-2.5\Release\extensions\pyexpat.o
X:\app\win32\MinGW\bin\gcc.exe -mno-cygwin -mdll -O -Wall -DXML_NS=1 -DXML_DTD=1
-DBYTEORDER=1234 -DXML_CONTEXT_BYTES=1024 -DHAVE_MEMMOVE=1 -DXML_STATIC= -Iexte
nsions/expat/lib -IC:\Python25\include -IC:\Python25\PC -c extensions/expat/lib/
xmlparse.c -o build\temp.win32-2.5\Release\extensions\expat\lib\xmlparse.o
X:\app\win32\MinGW\bin\gcc.exe -mno-cygwin -mdll -O -Wall -DXML_NS=1 -DXML_DTD=1
-DBYTEORDER=1234 -DXML_CONTEXT_BYTES=1024 -DHAVE_MEMMOVE=1 -DXML_STATIC= -Iexte
nsions/expat/lib -IC:\Python25\include -IC:\Python25\PC -c extensions/expat/lib/
xmlrole.c -o build\temp.win32-2.5\Release\extensions\expat\lib\xmlrole.o
X:\app\win32\MinGW\bin\gcc.exe -mno-cygwin -mdll -O -Wall -DXML_NS=1 -DXML_DTD=1
-DBYTEORDER=1234 -DXML_CONTEXT_BYTES=1024 -DHAVE_MEMMOVE=1 -DXML_STATIC= -Iexte
nsions/expat/lib -IC:\Python25\include -IC:\Python25\PC -c extensions/expat/lib/
xmltok.c -o build\temp.win32-2.5\Release\extensions\expat\lib\xmltok.o
writing build\temp.win32-2.5\Release\extensions\pyexpat.def
X:\app\win32\MinGW\bin\gcc.exe -mno-cygwin -shared -s build\temp.win32-2.5\Relea
se\extensions\pyexpat.o build\temp.win32-2.5\Release\extensions\expat\lib\xmlpar
se.o build\temp.win32-2.5\Release\extensions\expat\lib\xmlrole.o build\temp.win3
2-2.5\Release\extensions\expat\lib\xmltok.o build\temp.win32-2.5\Release\extensi
ons\pyexpat.def -LC:\Python25\libs -LC:\Python25\PCbuild -lpython25 -lmsvcr71 -o
build\lib.win32-2.5\_xmlplus\parsers\pyexpat.pyd
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x1b1): undef
ined reference to `_imp___Py_NoneStruct'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x1b8): undef
ined reference to `_imp___Py_NoneStruct'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x1f6): undef
ined reference to `_imp___Py_NoneStruct'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x1fd): undef
ined reference to `_imp___Py_NoneStruct'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x22b): undef
ined reference to `_imp___Py_NoneStruct'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x232): more
undefined references to `_imp___Py_NoneStruct' follow
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x643): undef
ined reference to `_imp___PyThreadState_Current'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x688): undef
ined reference to `_imp___Py_NoneStruct'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x241a): unde
fined reference to `_imp__PyString_Type'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x2421): unde
fined reference to `_imp__PyString_Type'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x244c): unde
fined reference to `_imp__PyExc_TypeError'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x247b): unde
fined reference to `_imp__PyExc_ValueError'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x251e): unde
fined reference to `_imp__PyFile_Type'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x2525): unde
fined reference to `_imp__PyFile_Type'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x257c): unde
fined reference to `_imp__PyExc_TypeError'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x25ff): unde
fined reference to `_imp__PyExc_IOError'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x273b): unde
fined reference to `_imp___Py_NoneStruct'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x2743): unde
fined reference to `_imp___Py_NoneStruct'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x27ff): unde
fined reference to `_imp___Py_NoneStruct'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x2809): unde
fined reference to `_imp___Py_NoneStruct'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x2aba): unde
fined reference to `_imp___Py_NoneStruct'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x2ac2): more
undefined references to `_imp___Py_NoneStruct' follow
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x2c3b): unde
fined reference to `_imp__PyExc_RuntimeError'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x2e12): unde
fined reference to `_imp___Py_TrueStruct'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x2e19): unde
fined reference to `_imp___Py_ZeroStruct'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x2e50): unde
fined reference to `_imp___Py_NoneStruct'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x3149): unde
fined reference to `_imp___Py_NoneStruct'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x3150): unde
fined reference to `_imp___Py_NoneStruct'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x3519): unde
fined reference to `_imp___Py_NoneStruct'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x3597): unde
fined reference to `_imp__PyExc_RuntimeError'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x37a8): unde
fined reference to `_imp__PyExc_AttributeError'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x38eb): unde
fined reference to `_imp__PyExc_ValueError'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x3905): unde
fined reference to `_imp___Py_NoneStruct'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x393e): unde
fined reference to `_imp__PyDict_Type'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x3945): unde
fined reference to `_imp__PyDict_Type'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x3966): unde
fined reference to `_imp__PyExc_TypeError'
build\temp.win32-2.5\Release\extensions\pyexpat.o:pyexpat.c:(.text+0x3acd): unde
fined reference to `_imp__PyType_Type'
collect2: ld returned 1 exit status
error: command 'gcc' failed with exit status 1