It appears to be 32-bit only - 64-bit compiles run fine. (Note: a 64-bit OS is not sufficient, you must build for 64-bit).
Ohh, a very useful info for me.

I have 3 questions :
1.) I have to install the mingw-mame-w64-20100102.exe (64-bit only) binaries for the easy way, right ?
2.) To start the compilation, I can start with:
make TARGET=mess (like for the 32-bit version) ?
3.) I have no any problems to start/use all compiled binaries on 32-bit OS ?