Minimalist GNU for Windows is indeed minimalist: it is not a full POSIX subsystem, and provides no package manager. Therefore, you will have to make some adjustments and install the dependencies yourself.
Matt P. Dziubinski successfully used Apophenia via MinGW; here are his instructions (with edits by BK):
Makefile
, adding -lpthread to AM_CFLAGS (removing -pthread) and -lregex to AM_CFLAGS and LIBS