gfortran can't find OpenMP library (omp_lib.mo

Question

I'm trying to compile a Fortran code that someone has sent me. It compiles fine on my Linux box, now I'm trying to compile it under MinGW on Windows. But when I run the gfortran command to compile and link it, it fails with the following error:

undumag_main_omp.f:8175:9:

       use omp_lib
         1
Fatal Error: Can't open module file 'omp_lib.mod' for reading at (1): No such file or directory
compilation terminated.

I'm using the -fopenmp switch to use OpenMP.

I've installed MinGW (5.3.0) using the Installation Manager, selecting the mingw32-base and mingw32-gcc-fortran packages. Are there other packages I should install for OpenMP compatibility? Or do I need to compile the omp_lib.mod file myself, and if so how? I can see that I have some libgomp.* files in my MinGW\lib\gcc\mingw32\5.3.0 folder, but there is no omp_lib_mod file anywhere.