In addition to mingw you will need mt.exe from windows SDK, so either install full SDK or export mt.exe using those instructions

main.c

#include <direct.h>
#include <locale.h>
#include <stdio.h>
#include <windows.h>
 
int WINAPI WinMain(HINSTANCE hInstance, HINSTANCE hPrevInstance, PSTR szCmdLine, int iCmdShow)
{
	char codepage_message[50];
 
	sprintf(codepage_message, "Codepage is %d", GetACP());
	MessageBoxA(NULL, codepage_message, "ąęśćż", MB_ICONINFORMATION);
 
        // create directory called 😊
        // setlocale might not be needed, but it is recommended
	setlocale(LC_ALL, ".UTF8");
	_mkdir("😊");
 
	return 0;
}

app.manifest

<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<assembly manifestVersion="1.0" xmlns="urn:schemas-microsoft-com:asm.v1">
  <assemblyIdentity type="win32" name="YourApp" version="1.0.0.0"/>
  <application>
    <windowsSettings>
      <activeCodePage xmlns="http://schemas.microsoft.com/SMI/2019/WindowsSettings">UTF-8</activeCodePage>
    </windowsSettings>
  </application>
</assembly>

gcc -finput-charset=utf-8 -fexec-charset=utf-8 main.c -o main.exe
mt.exe -manifest app.manifest -outputresource:main.exe;#1

-finput-charset=utf-8 and -fexec-charset=utf-8 are optional since gcc usually parses and emits utf-8 strings by default (usually)