Although i don't say that it is not possible, but I have never used eclipse for opencl on windows. AMD provides Visual studio files and make files. So you can use Visual Studio, or Mingw. From compiler's point MS VC++ compiler, or GCC or ICL should be fine.
In addition, what exactly do I need for the installation? Any specific compiler etc (have mingw installed)?
It seems you have Mingw installed. That is good enough to Run APP SDK Samples.
Check http://developer.amd.com/download/AMD_APP_SDK_Getting_Started_Guide.pdf for more help