If the provided shortpath.dll and uigetpath.dll don't work it's probably because they were compiled against a previous version of Matlab. But the source code is included so you can re-compile with your current version of Matlab, first setup mex, at the Matlab prompt type:
>> mex -setup
and Matlab will say
Please choose your compiler for building external interface (MEX) files: Would you like mex to locate installed compilers [y]/n?
so choose 'y' Matlab then lists the available compilers:
Select a compiler:  Lcc-win32 C 2.4.1 in C:\PROGRA~1\MATLAB\R2007a\sys\lcc  Microsoft Visual C++ .NET 2003 in C:\Program Files\Microsoft Visual Studio .NET 2003  None Compiler:
Note: I have Visual Studio 2003 installed, that's why I have 2 options. If you have Borland installed you would also see it listed above.
The compiler used with MinGW and Cygwin (gcc) isn't listed, because it's not registered in Windows the same way that Matlab, Visual Studio etc. are. This is the very reason for using Gnumex to setup options for gcc. Choose  to use the compiler provided with Matlab.
Now change directories into c:\gnumex\src and compile the .c files:
mex shortpath.c -output shortpath.dll mex uigetpath.c -output uigetpath.dll
You might get an error like this when compiling uigetpath.c:
c:\docume~1\beau\locals~1\temp\mex_c58982ee-6281-4e1f-e2ac-723987a01052\uigetpath.obj .text: undefined reference to '_SHGetMalloc@4' c:\docume~1\beau\locals~1\temp\mex_c58982ee-6281-4e1f-e2ac-723987a01052\uigetpath.obj .text: undefined reference to '_SHBrowseForFolder@4' c:\docume~1\beau\locals~1\temp\mex_c58982ee-6281-4e1f-e2ac-723987a01052\uigetpath.obj .text: undefined reference to '_SHGetPathFromIDList@8' C:\PROGRA~1\MATLAB\R2007A\BIN\MEX.PL: Error: Link of 'uigetpath.dll' failed. ??? Error using ==> mex at 206 Unable to complete successfully.
But luckily uigetpath.dll is not crucial to the function of Gnumex. I believe it's only used when a "Browse" button is pushed, to present the user with a browseable folder tree. To avoid using it, just type paths into the text boxes in Gnumex. This error does not occur when I use the Visual Studio compiler most likely because its mexopts.bat file is setup to properly link to Microsoft libraries for the _SH functions listed.
Now that you have a working shortpath.dll (and possibly uigetpath.dll) copy it/them to the root Gnumex folder (c:\gnumex).