It was in the FAQ at some stage, but now I seem to find it only on this page:
Why I get an error about missing libstdc++-6.dll file when running my program?
GCC4 dynamically link to libgcc and libstdc++ libraries by default which means that you need a copy of libgcc_s_dw2-1.dll and libstdc++-6.dll files to run your programs build with the GCC4 version (These files can be found in MinGW\bin directory). To remove these DLL dependencies, statically link the libraries to your application by adding "-static-libgcc -static-libstdc++" to your "Extra linking options" in the project settings.
Try this,
g++ -static-libgcc -static-libstdc++ -Wall -pedantic Hello.cpp -o Hello.exe