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Link with C code (compiled code under Windows)

Rcmd SHLIB, perhaps?
As all recent cygwins have supported --shared, I don't know what to say.
Set up correctly, it works out of the box, although there are warnings
in the documentation that it is not a preferred route.

Also HAVE_SHARED is a documented flag.  You did notice that as you
edited MkRules, didn't you?
That is clearly documented in the sources and rw1021sp.zip, in files
INSTALL and readme.packages, for example.
None. DLLs don't work like that: they are probed for symbols as needed.
You can use pedump to explore whether the symbols are exported correctly.
May be it is not the DLL.  Maybe it is your C code or what you are
trying to do with it?
Try

(1) reading the R documentation
(2) making a simple example (e.g. package windlgs) to see if your
compiler system is working.

BDR

BTW, Rcmd SHLIB in 1.2.1 using some make.exe's fails.  Change SOURCES in
bin/SHLIB and src/gnuwin32/MakeDll to CFSOURCES to avoid this.
(Some make.exe's pass down macros, some do not ....  It worked with the
make I first used, but not the latest one.)