Three small code changes were needed to allow successful compilation and installation under Windows 7/MSYS/Mingw:

p11-kit-0.13\p11-kit\pin.c
change line 476 from
error = EOVERFLOW 
                 to
error = EFBIG

p11-kit-0.13\tests\pin-test.c
change line 273 from
CuAssertIntEquals (tc, EOVERFLOW, error);
                                        to
CuAssertIntEquals (tc, EFBIG, error);

EOVERFLOW does not exist in Mingw errno.h, google-fu indicated EFBIG was a suitable substitution used elsewhere.  Suggest an IFDEF workaround for these two.

make install bombs out with this unix-specific line of code (line 976) 
in p11-kit\Makefile:

$(LN_S) -f `readlink $(DESTDIR)$(libdir)/libp11-kit.so` $(DESTDIR)$(libdir)/p11-kit-proxy.so

I commented out this line and the rest of the install completed.  This appears to be hardcoded to the unix readlink utility and the unix .so file extension, which should be amended.