Horde3D

I've searched the OMP site compilers section and they are few compilers support OMP.
Most of them like Watcom and MS VS2008 are non-free (MS VS2008 Express doesn't support OMP) and other compilers are useless !

But there is one nice looking cross-platform compiler named GCC 4.3 that it supports OMP.
As you know MinGW is windows port of GCC and it is best looking port of GCC for windows.
Code::Blocks uses MinGW as it's default and integrated compiler but there is some incompatibilities with MinGW and OMP reported.

BTW, which compiler is used to compile Horde3D SDK DLLs ?

You have to compile it with the compiler you are going to use as MSVC and GCC are incompatible with each other. The precompiled ones are afaik for MSVC, I do have precompiled binaries for MinGW if anybody needs them though.

If only 4.3 and newer supports OMP, then MinGW won't support it as I think most distributions of MinGW still use GCC 3 (you can get binaries with 4.3 though)

AFAIK GCC 4.4+ uses OpenMP 3.0 previous 4.2+ versions use OpenMP 2.5 (http://gcc.gnu.org/projects/gomp/). MSVC 8 2005 (professional) and 9 2008 use OpenMP 2.0