Both MinGW and MSYS need to be installed and working to compile ScummVM.
First, install MinGW through its automated installer.
* Then, install MSYS. After installation, a new console window will appear, asking if you wish to proceed with the post install. Answer 'y' to that prompt. You will then be asked if you have MinGW installed. Answer 'y' to that and then type in the path of your MinGW directory using forward slashes (e.g. C:/MinGW). Make sure that there is no "make" utility in the MinGW bin folder, as this will clash with the make utility in MSYS. With the recent packages described in the section above, you shouldn't have that problem.
* After both MinGW and MSYS are installed correctly, install MSYS DTK
Make sure that the MinGW bin directory is included in the path (e.g. C:\MinGW\bin), which should already be included there from the MinGW installer. Also, make sure that the libexec path is included too (e.g. C:\MinGW\libexec\gcc\mingw32\3.4.2), which is needed in Vista to get MinGW properly working
== MSYS primer ==