Here's how you can set up ST2 to work with Mingw:
- add the Mingw bin path to system Path env variable;
- rename ming's mingw32-make.exe to make.exe
- create a file called "makefile" (no extension) in the project's folder and update it accordingly to your project.
- in ST2 make sure the build system is "Automatic"
- press Cltr +B and it should work
Later edit : the final version of Sublime Text 2 changed some stuff to the build process, so it's easier to create a new build (tools/Buil System/Create New Build) and just paste
This is basically inovke mingw32-make in the same folder as the currently opened file. If you have a valid makefile there it should work fine.