When using another gcc toolchain than mingw.org's, not all compiler search dirs are searched for headers.

For example, mingw-w64/w32 from sourceforge (mingw-w64.sourceforge.net) has dshow.h and uxtheme.h, but the features do not get enabled automatically by configure.exe.

Ideally, configure should search:
<mingw compiler dir>\include
<mingw compiler dir>\<triplet>\include
<mingw compiler dir>\mingw\include

MinGW.org uses the latter, mingw-w64/w32 uses the second one for now. There is no consensus on where the standard search path is, but there is a way to find the search dirs for the used compiler by running g++ with special options:
echo | g++ -v -x c -E -
The output will include the search path for #include "..." and #include <...>
If configure uses these dirs to search for the required headers, it will find what the compiler finds.