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Please read the document on MingW. http://www.mingw.org/wiki/CreateImportLibraries
Usually, you don't need the import library in MingW.
cd OPENBLAS_TOP_DIR/exports
Edit libopenblas.def. Insert LIBRARY libopenblas.dll to the head, as following.
libopenblas.def
LIBRARY libopenblas.dll
LIBRARY libopenblas.dll EXPORTS caxpy=caxpy_ @1 caxpy_=caxpy_ @2 ...
Then, generate the import library.
dlltool -d libopenblas.def -l libopenblas.a