Here is what I get from a terminal :
$ mkoctfile -p LIBDIR
\root\mxe-octave\usr\i686-w64-mingw32\lib
$ mkoctfile -p INCLUDEDIR
\root\mxe-octave\usr\i686-w64-mingw32\include
$ mkoctfile -p OCTINCLUDEDIR
\root\mxe-octave\usr\i686-w64-mingw32\include\octave-3.8.1\octave
And here is what I get from Octave :
>> mkoctfile -p LIBDIR
C:\Octave\Octave-3.8.1\lib
>> mkoctfile -p INCLUDEDIR
C:\Octave\Octave-3.8.1\include
>> mkoctfile -p OCTINCLUDEDIR
C:\Octave\Octave-3.8.1\include\octave-3.8.1\octave
My include path problem is thus solved if I build from Octave...