Why can not find libmysql.so but libmysql.a

[runbirder]

MYSQL_INC=/usr/mysql-connector-c-6.0.2-linux-glibc2.3-x86-32bit/include
MYSQL_LIB=/usr/mysql-connector-c-6.0.2-linux-glibc2.3-x86-32bit/lib
all:
 gcc -I${MYSQL_INC} -c testmain.c 
 gcc -o testmain.exe testmain.o -L${MYSQL_LIB} -lmysql
///////////////////////////////////////////////////////////////
when I complie it cannot find libmysql.so, but if I create libmysql.a then
it can find that
so under the Cygwin, the ld can not link to *.so file???
hope your reply

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