1. Configuration of starting environment

For start you need mSYS with additional programs and MINGW32 for compilation.

You need installed 7-zip: http://www.7-zip.org/

Let assume following directory structure:

  D:\ -+  Root directory (This also can be C:\ or any other directory in which you (your account)
       |                  have enough rights for all file management operations.
       |                  For example, it can be "%USERPROFILE%\work". It must be on NTFS disk.)
       |
       +- mingw -+  In this directory we will keep all our compilation environment (mSYS, MINGW, TOOLS...)
                 |
                 +- local  In this directory we will keep additional programs, utilities, scripts and libraries, which don't
                 |         depend on MINGW and mSYS
                 |
                 +- mingw_first  MINGW. It is needed for compilation at starting stages.
                 |
                 +- mingw_new    In this directory we will get new MINGW (this is our target).
                 |
                 +- msys         mSYS. Most of the work would be made by using it.
                 |
                 +- msysgit      GIT. It is needed for downloading and updating of some sources.
                 |
                 +- tmp          This is the directory for temporary files. (I like to keep everything in one place).

What do we need? And where can we get it?

a) For start we need mSYS
   Get it here: http://www.cadforte.com/msys.html
   At moment of writing it was: msys-phoenix-1.3c.7z
   This is the ideal solution for beginners and not only for them.
   It contains probably everything needed and is regularly updating.

b) Installing of mSYS
   Unpack it into "d:\mingw\msys"
   Move all from "d:\mingw\msys\phoenix\" by one level up (to "d:\mingw\msys")
   Remove empty "d:\mingw\msys\phoenix"

   [code="Windows CMD console"]
   # Installing of mSYS
   mkdir "d:\mingw"
   cd /d "d:\mingw"
   7z.exe x -o"d:\mingw" <path_to>\msys-phoenix-1.3c.7z
   rename "phoenix" "msys"
   move changelog msys\
   move readme msys\

   # Preparing of additional directories
   mkdir local\bin
   mkdir tmp
   mkdir mingw_first
   mkdir mingw_new

   # Configuring of mSYS for first run
   echo d:/mingw/local /usr/local > d:\mingw\msys\etc\fstab
   echo d:/mingw/tmp /tmp1 >> d:\mingw\msys\etc\fstab
   [/code]

   For file system manipulations we need "junction.exe"
   Get it here: http://technet.microsoft.com/en-us/sysinternals/bb896768.aspx
   Unpack it into "d:\mingw\local\bin"

   CVS
   Get it here: http://sourceforge.net/projects/mingw/files/
   At moment of writing it was: cvs-1.11.22-MSYS-1.0.11-1-bin.tar.gz
   Unpack it into "d:\mingw\msys"

   wget (file-downloader)
   Get it here: http://gnuwin32.sourceforge.net/packages/wget.htm
   Files: "Binaries" and "Dependencies"
   Unpack them into "d:\mingw\local"

   SVN
   Get it here: http://subversion.tigris.org/getting.html
             or http://subversion.tigris.org/servlets/ProjectDocumentList?folderID=8100
   Unpack it into "d:\mingw\local"

   VIM (text-editor)
   Get it here: http://www.vim.org/index.php
             or http://www.math.technion.ac.il/pub/vim/pc/
   File: vim72w32.zip
   Unpack "vim.exe" from it into "d:\mingw\local\bin"

   Edit file "mingw\msys\etc\profile"
   [code="Windows CMD console"]
   d:\mingw\local\bin\vim d:\mingw\msys\etc\profile
   [/code]

   1) Remove "$PATH" from "export PATH=..." and add "mingw\tmp"
   [code="Before"]
   if [ $MSYSTEM == MINGW32 ]; then
     export PATH=".:/usr/local/bin:/mingw/bin:/bin:$PATH"
   else
     export PATH=".:/usr/local/bin:/bin:/mingw/bin:$PATH"
   fi
   [/code]

   [code="After"]
   if [ $MSYSTEM == MINGW32 ]; then
     export PATH=".:/usr/local/bin:/mingw/bin:/bin"
   else
     export PATH=".:/usr/local/bin:/bin:/mingw/bin"
   fi
   export TMP=/tmp1
   export TEMP=/tmp1
   [/code]

Now we ready for the first run.
Let run c:\mingw\msys\msys.bat