These instructions for building SQLite with MinGW on windows. More detailed explanation is found at http://techtonik.blogspot.com/2005/12/how-to-compile-sqlite-for-windows.html 
cd sqlite
mkdir bld; cd bld
../configure --disable-tcl
make target_source
mv tclsqlite.c tclsqlite.c.unused
gcc -O2 -DNDEBUG=1 -DTHREADSAFE=1 -c *.c
gcc -s -o sqlite3 *.o
rm shell.o
gcc -shared -s -o sqlite3.dll *.o *.def