I ran all the test exes and all the tests passed OK. Also I ran all the tools with the -h option, and they all ran OK. I then ran marisa-lookup against my words index, and it seems to load OK--I certainly have not seen the MARISA_STATE_ERROR you reported. So, it looks like a problem with mingw.
The marisa 0.2.0 source comes with VS2008 projects and they compiled without any real problems. I had two compilation errors the first time I did a Debug build, which were fixed by rebuilding, so I assume there is a small problem with the build order not being 100% correct (i.e., a project depends on the output of another project later on in the build sequence).
I see you can still get the free
Visual Studio 2008 Express. Personally I use Development Edition.