Piping stderr

[Gisle Vanem]

In a GNU make 3.79.1 command I need to pipe stderr
from gcc to grep. Something like:

h_files:
  $(CC) -MMD -MM -H $(CFLAGS) $(FILES) |& grep -iv "MingW32"

to produce a tree of headers involved in a compilation. But I
want to 'grep' away the ".. g:/MingW/" lines. 

The piping doesn't work. What would be the prober syntax to
pipe only stderr? Or both stdout and stderr would be okay too.

I'm using MSys' make and sh under MingW.

--gv