I was able to compile MSHTMLTest.exe and DisplayHTML.exe with this makefile and MinGW. Note that it also uses some source code outside this directory (but within this GitHub repository).
The file mshtmhst.h was downloaded from this link because MinGW doesn't seem to come with it.
This .exe simply shows the content of the HTML that is defined in MSHTMLTest.cpp
DisplayHTML.exe can be called from the command line (that is most probably
cmd.exe) either like so
or (in order to show a local html-file)
See also the original link