I'm trying to build the unofficial opengl sdk (glsdk.sourceforge.net), and I'm running into this issue. I'm not sure if I'm missing some dependency but I've no idea what config.h is. I just unzipped the glsdk to the directory and ran these commands:

C:\MinGW\include\glsdk_0.4.0>premake4 gmake
'sh' is not recognized as an internal or external command,
operable program or batch file.
Building configurations...
Running action 'gmake'...
Generating Makefile...
Generating glload/Makefile...
Generating glimg/Makefile...
Generating glfw/Makefile...
Generating freeglut/Makefile...
Generating glutil/Makefile...
Generating glmesh/Makefile...
Done.

C:\MinGW\include\glsdk_0.4.0>mingw32-make config=debug
"==== Building glload (debug) ===="
Creating lib
Creating Debug
gll_c.c
gll_gl_ext.c
gll_cpp.cpp
wgll_ext.c
Linking glload
"==== Building glimg (debug) ===="
Creating lib
Creating Debug
DdsLoader.cpp
ImageCreator.cpp
ImageFormat.cpp
ImageSet.cpp
ImageSetImpl.cpp
StbLoader.cpp
TestLoader.cpp
TextureGenerator.cpp
Util.cpp
stb_image.c
Linking glimg
"==== Building glfw (debug) ===="
Creating library
Creating obj/Debug
enable.c
fullscreen.c
glext.c
image.c
init.c
input.c
joystick.c
stream.c
lib/stream.c:31:0: warning: "_CRT_SECURE_NO_WARNINGS" redefined [enabled by defa
ult]
<command-line>:0:0: note: this is the location of the previous definition
tga.c
thread.c
time.c
window.c
win32_dllmain.c
win32_enable.c
win32_fullscreen.c
win32_glext.c
win32_init.c
win32_joystick.c
win32_thread.c
win32_time.c
win32_window.c
Linking glfw
"==== Building freeglut (debug) ===="
Creating lib
Creating obj/Debug
freeglut_callbacks.c
In file included from src/freeglut_callbacks.c:29:0:
src/freeglut_internal.h:32:24: fatal error: config.h: No such file or directory
compilation terminated.
mingw32-make[1]: *** [obj/Debug/freeglut_callbacks.o] Error 1
mingw32-make: *** [freeglut] Error 2

C:\MinGW\include\glsdk_0.4.0>