If I call mgInit(), open a db then close it then call mgExit() and at some point after call mgInit() again I get access violations when I try a call to mgOpenDB(). Should that work? It is not clear from the documentation.

You can call mgInit (and mgExit) only one time per process. So instead of

mgInit
mgOpenDb
mgCloseDb
mgExit

mgInit
mgOpenDb
mgCloseDb
mgExit

...

you should:

mgInit

mgOpenDb
mgCloseDb

mgOpenDb
mgCloseDb

...

mgExit

Ok that's fine. Is there a way to tell if mgInit has already been called?

There is no function you can call in the API that will tell you mgInit has been called. You'll have to keep track of that yourself. Easy enough to do with a global singleton or something like that.