Add MinGW doc for Python 3.8+ (GH-3454)

docs/src/tutorial/appendix.rst

@@ -28,4 +28,65 @@ procedure. Any contributions towards making the Windows install
 process smoother is welcomed; it is an unfortunate fact that none of
 the regular Cython developers have convenient access to Windows.
 
+Python 3.8+
+-----------
+
+Since Python 3.8, the search paths of DLL dependencies has been reset.
+(`changelog <https://docs.python.org/3/whatsnew/3.8.html#changes-in-the-python-api>`_)
+
+Only the system paths, the directory containing the DLL or PYD file
+are searched for load-time dependencies.
+Instead, a new function `os.add_dll_directory() <https://docs.python.org/3.8/library/os.html#os.add_dll_directory>`_
+was added to supply additional search paths.  But such a runtime update is not applicable in all situations.
+
+Unlike MSVC, MinGW has its owned standard libraries such as ``libstdc++-6.dll``,
+which are not placed in the system path (such as ``C:\Windows\System32``).
+For a C++ example, you can check the dependencies by MSVC tool ``dumpbin``::
+
+    > dumpbin /dependents my_gnu_extension.cp38-win_amd64.pyd
+    ...
+    Dump of file my_gnu_extension.cp38-win_amd64.pyd
+    
+    File Type: DLL
+    
+      Image has the following dependencies:
+      
+          python38.dll
+          KERNEL32.dll
+          msvcrt.dll
+          libgcc_s_seh-1.dll
+          libstdc++-6.dll
+          ...
+
+These standard libraries can be embedded via static linking, by adding the following options to the linker::
+
+    -static-libgcc -static-libstdc++ -Wl,-Bstatic,--whole-archive -lwinpthread -Wl,--no-whole-archive
+
+In ``setup.py``, a cross platform config can be added through
+extending ``build_ext`` class::
+
+    from setuptools import setup
+    from setuptools.command.build_ext import build_ext
+
+    link_args = ['-static-libgcc',
+                 '-static-libstdc++',
+                 '-Wl,-Bstatic,--whole-archive',
+                 '-lwinpthread',
+                 '-Wl,--no-whole-archive']
+
+    ...  # Add extensions
+
+    class Build(build_ext):
+        def build_extensions(self):
+            if self.compiler.compiler_type == 'mingw32':
+                for e in self.extensions:
+                    e.extra_link_args = link_args
+            super(Build, self).build_extensions()
+
+    setup(
+        ...
+        cmdclass={'build_ext': Build},
+        ...
+    )
+
 .. [WinInst] https://github.com/cython/cython/wiki/CythonExtensionsOnWindows