I think you're right but i can't find libdb.a file on my system

It's quite possible that the import lib that shipped with the msi package that you installed had a different name - eg is there a 'db.lib' ? If you can identify the import lib (irrespective of the name it has), then simply create a copy of it called 'libdb.a' in a location where it will be found, and MinGW should have no trouble linking to it.

Once that warning about Note (probably harmless): No library found for -ldb goes away, you're a chance to succeed.

Cheers,
Rob