But that's the point, I don't want the same style executable as Visual Studio. Having to distribute bunch of DLLs and having worse compatibility is pretty bad.

A major part of the incompatibility with older versions of Windows is just because newer VS runtimes cut the support artifically. That's it. Many programs would otherwise work as-is or with just a little help.

yeah, you can get away with this now a days because Git itself installs 2/3rds of the things you need anyway. You just need to finish the job by getting the package and putting the binaries in your git folder. Bam! mingw64, clang, what ever cc you need. It all links to standard windows stuff because you have to tell the linker where your win32.lib is. But this is true no matter the compiler, it's just Visual Studio supplies this in some god awful Program Files path.