Go to the Home page to download the installer
One major difference with linux is that MSYS2 uses different environements. Here, we are going to use te UCRT64 environement.
After installing, open the URCT64 shell to get a console. MSYS2 uses pacman (like Arch linux) as a package manager. To update all packages:
pacman -Syu
The first time, you will probably need to do this twice as MSYS2 need to update the runtime before the other packages.
Most packages in MSYS2 are tied to a specific env. So if you want to download QEMU for the UCRT64 environement, you will need to type:
pacman -S mingw-w64-ucrt-x86_64-qemu
https://packages.msys2.org to search packages.
Msys2 has a "toolchain" group that contains all you need to build C/C++ programs (compiler, Make, etc...)
pacman -Syu mingw-w64-ucrt-x86_64-toolchain