I commented out all of the logic in the makefile for Not-Windows:
#ifndef ON_WINDOWS
# PREFIX = i686-w64-mingw32-
# ifdef _w64
# PREFIX = x86_64-w64-mingw32-
# endif
# ifdef _a64
# PREFIX = aarch64-w64-mingw32-
# endif
#endif
and
#ifdef ON_WINDOWS
config_curses$(E) -v -d.. $(CFLAGS)
#else
# wine config_curses$(E) -v -d.. $(CFLAGS)
#endif
# rm config_curses$(E)
It seems my uname started with MSYS_NT
and not like MINGW, as expected. Then I followed Giorgos's instructions on How do I install PDCurses in Windows for use with C++? for step 2 and after. PDCursor got built and the hello-world is compiling and running. May no one else have to deal with this