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The first problem I had was to prevent the makefile from building "usocket.c", and to use "wsocket.c" Is there a compilation flag I missed ?
No...the makefile which comes with LuaSocket is for Linux/Unix; the Windows-flavoured build file is socket.vcproj.
You're not doing anything wrong -- you need to edit the makefile for MinGW. Change usocket.o to wsocket.o, and comment out the bit which builds $(UNIX_SO) since you don't get Unix domain sockets on Windows.
Also add -lws2_32 to the LDFLAGS= line in the 'config' file (in the root of the Luasocket distro), and add -DLUASOCKET_API=__declspec(dllexport) to the DEF= line.
Errr, I think you also need to change EXT=so to EXT=dll.And if you plan to use 'make install', change the INSTALL_TOP settings to something Windowesque based on where Lua itself is installed.
(This from memory; you can check these facts by digging in [the XML mess that is] socket.vcproj :-)