So there seems to be this problem with GNU Make's $(wildcard) function keeping a directory open on Windows. See (unasnwered) post "make is holding a directory open". Google does not provide much information on the topic.
In short: the Makefile uses the $(wildcard) function at some point, and keeps a directory open, which typically prevents the "make clean" rule to do its work correctly. Re-running "make clean" a second time usually solves it.
I'm using GNU Make version 3.81 under a standard DOS-Box. The author of the post linked to above is using Cygwin.
Has anyone found a fix for this?