Do you mean mingw32? VTune isn't designed to work with Windows gcc/g++. I did once try running it against a cygwin built application; it was able to view asm for some distance from the start of several functions. You must build everything with -g, and preferably static link against Microsoft debug libraries.
Ah... The default configuration for sampling sets a "duration" of 20 seconds. When the activity reaches this duration, the activity is stopped and any application that the VTune analyzer launched is terminated. You can change the analyzer's behavior in two ways:
set the duration to zero (0 = forever) or to a sufficiently long value.
after creating the activity, modify it (right-click in Tuning Browser and select Modify Activity...) and Configure the sampling collector and uncheck the Terminate application when Activity ends check box on the General tab.