How (where) are you building the lib? Makefiles don’t normally work on plain Windows, so you must be using some emulation. Cygwin? MinGW? linux?
I think it should be possible to use MinGW (and even Cygwin and cross-compiling) but I have no experience on that.
is not a valid Win32 application. is the key issue. You need to end up with a shared lib that is valid Win32, and that does not depend on Makefile tuning but instead to use a right environment for the building.