Mingw's headers don't declare CaptureStackBackTrace(), however it looks like the import library for ntdll.dll contains an entry for RtlCaptureStackBackTrace(), which CaptureStackBackTrace() is normally #defined to.
Alternatively, Mingw-w64 headers do define it.

The bigger question, however, is: Does this actually work on 32-bit Windows when frame pointer omission is enabled?   (and IIRC, FPO was re-enabled in rustc not so long ago)
As far as I know, in order to walk stack across modules compiled with FPO, dbghelp needs to have debug symbols (the .pdb file) for that module.  Rust emits DWARF debug info, which dbghelp does not understand.  So I'd expect it to fail as soon as it hits the first stack frame of a rust function.