connecting using libpq breaks printf

This is my first attempt at using libpq, and I'm running across a strange
problem. Here is my bare-bones program:

#include <stdio.h>
#include "libpq-fe.h"

int main(int argc, char **argv) {
  PGconn *conn;
  fprintf(stderr, "connecting\n");
  conn = PQconnectdb("dbname=postgres");
  PQfinish(conn);
  return 0;
}

I expected this program to print "connecting", but in fact I get no output
whatsoever. If I comment out the PQconnectdb and PQfinish lines, I see
"connecting" as expected. What could be going on here?

A few notes:
 - I'm running PostgreSQL 8.3.6 on Windows XP. I used the one-click installer
   to install.
 - I'm compiling the program with MinGW. I get no compiler warnings or errors.
 - I can connect to the database just fine using both pgAdmin and the
   command-line client. The database is running on localhost.
 - I've tried adding code to see if PQstatus(conn) == CONNECTION_OK, but this
   hasn't been useful. Since fprintf() isn't working, I can't display a message
   showing the result of the comparison.
 - I've tried various combinations of connection options in case there was an
   issue with the hostname, database name, username, or password. I always get
   the same result: no output.
 - I've tried printing to stdout and to a file, but neither helped.

Thanks for any help you can provide.
Joey