Sorry, I just realized that SDL was causing that problem, since I copied the wrong folder by mistake when installing SDL development package (bin folder instead of lib).

Anyway, I corrected that, and that error disappeared. However, I got this error instead:

mingw32-make -k 
g++ main.o -Wall -I.. -lmingw32 -lSDLmain -lSDL -mwindows -o image_test.exe #Link .
g++: #Link: No such file or directory
mingw32-make: *** [image_test.exe] Error 1
mingw32-make: Target `all' not remade because of errors.

mingw32-make -k 
rm main.o #Remove .o
process_begin: CreateProcess(NULL, rm main.o #Remove .o, ...) failed.
make (e=2): The system cannot find the file specified.
mingw32-make: *** [all] Error 2