This file is in fact part of the g95 install. You can find it in the ...\g95\lib\ subdirectroy.
I found that adding the following to your environment variable helped:
G95_LIBRARY_PATH=D:\program\fortran\g95\lib\gcc-lib\i686-pc-mingw32\4.1.2;D:\program\fortran\g95\lib
where D:\program\fortran is where you installed g95 on your computer. By default, I believe only the first path is added through the default install.
Also make sure that the following is in your PATH: D:\program\fortran\g95\bin
Hope this helps.
Sebastien.