Compiling HelloWorld.c works; but when I
My experience (which doesn't include how this might be configured in Eclipse) is that ld (which gcc will invoke) wants the lib names without the lib prefix or the .a extension. Try:
gcc -LC:\rhino\data\libs -LC:\rhino\data\lib -oTestC.exe TestC.o -lglfw -lglfwdll
I'm not sure that the glfw.dll file should be listed as a library; the import library for that DLL (I assume that's libglfwdll.lib) should take care of linking to the DLL.