If you have vc, why use mingw32? What does it says without this option?
You can also try 1.0b1. It has binary installers for windows:
http://code.google.com/p/gevent/downloads/list
One thing to watch out for: the Windows SDK doesn't put vcvarsall.bat in the right place (%ProgramFiles%\Microsoft Visual Studio 9.0\VC). All that vcvarsall.bat does is detect what platform you're targeting and calls the appropriate batch file. For example, for x86, it calls %ProgramFiles%\Microsoft Visual Studio 9.0\VC\bin\vcvars32.bat. So, if you go with the Windows SDK, you could just copy a vcvarsall.bat one over from a machine that has VS2008 on it, or hack something else in.
Hope this helps.
- tom