Cython Fatal Error: Python.h No such file or directory

I have been using Cython to compile my Python files into C files and then use MinGW to create an executable from the C file. Cython works fine, I can type cython test.pyx into the command line and get a C file. The problem is when I attempt to compile an executable from the C file. If I type gcc test.c I get the following error:

test.c:4:20: fatal error: Python.h: No such file or directory #include "Python.h"                    ^compilation terminated.

I would really appreciate some help. I am running windows 7 and python 3.5.