UPDATE 2011-08-18 we could use Automated MinGW Installer now!
MSYS, a contraction of "Minimal SYStem", is a Bourne Shell command line interpreter system. Offered as an alternative to Microsoft's cmd.exe, this provides a general purpose command line environment, which is particularly suited to use with MinGW, for porting of many Open Source applications to the MS-Windows platform; it includes a small selection of Unix tools, chosen to facilitate that objective, and using it is a necessary prerequisite for building mingwPORTs.
http://www.mingw.org/wiki/MSYS
1, Install MSYS 1.0.11. I usually install it in C:/msys/1.0, but you can use any directory that you prefer.
2, Install MSYS DTK 1.0 in C:/msys/1.0.
3, Install MSYS Core 1.0.11. It is an archive. Untar it in C:/msys/1.0.
4, Set the environment variable HOME to C:/msys/1.0/home
Done.