There could be two reasons for this error: First, even if you use 64 Bit Windows, the compiler could default to 32 bit. You can try if linking succeeds when using the windows-x86_32 library directory.
Second, the reason could be that you use gcc on Windows, which we do not really support.
EDIT: Also, do not link both onesdk_shared and onesdk_static but only one of them (preferably only onesdk_static).
First, this is not called Open SDK but OneAgent SDK for C/C++ (sorry for being nitpicky, but we have to be careful here to avoid confusion with similarly named APIs). (EDIT: I see now that this was already in the title, I just noticed it now)
And no, the SDK binaries provided are not compiled with g++. For Windows, they are compiled with the Microsoft Visual Studio C/C++ Compiler ("MSVC") in C mode. For Linux, they are indeed compiled with gcc. These are also the only combinations the SDK is tested with. Using the SDK with gcc on Windows (with the correct 32 or 64 bit library) may happen to work but is not supported.