PD. I would like sharing some findings: MinGW outputs code that is almost 40% faster than the one compiled with MSC. Windows MinGW vs Linux GCC speed comparison shows that the linux version is around 11% faster than the windows one.
Interesting. Are you sure you have compiled in optimal mode?
Also, if you application is FP heavy, maybe mingw has activated SSE 2 FP by default, while MSC stays with x87. Would be interesting to investigate. So far, MSC always seems on par with Mingw to me in generated code quality and 2-3x faster compiling.