Actually I tend to prefer the #define WIN32_DEFAULT_LIBS method.
As far as I know it's unique to Pelles C. What it does is activate #pragmas in the Pelles Includes so that when you include a header file, it automatically adds the correct libraries to the linker's list. I use it in practically every project that includes any Windows header... don't even have to think about linking issues. (Which is why I didn't think to mention it, it's second nature... Thanks Timo!)
Glad you got it working...