Calling Fortran DLL from C# with Open() call

I'm calling a Fortran DLL from C# code. All works fines for the code shown below and I well receive the correct return value at my C# side.

However, as soon as I uncomment the line open(31, file='output.txt', status='new'), I get the following exception:

System.DllNotFoundException: 'Unable to load DLL 'MyProgram.dll': The specified module could not be found. (Exception from HRESULT: 0x8007007E)'

Same result for all calls I try to make to the Fortran read() and write() functions.

For info; I'm compiling with gfortran installed via mingw-w64.

        function return_integer(input) result(output)

            ! Don't leave the calling convention to chance.
            !GCC$ ATTRIBUTES CDECL ::  return_integer
        
            integer*4, intent(in) :: input
            integer*4 :: output

            ! open(31, file='output.txt', status='new' )

            output = 2*input+1


        end function