Here's how: use Luis Lavena's pre built scripts to set it up for you (in this case to set it up for building a complete version of ruby), then tie in to the msys and mgit that it created for you.
steps:
download rubyinstaller's source, git clone git://github.com/oneclick/rubyinstaller.git
then build a version, "any version" of ruby with it, a la
cd rubyinstaller
rake # wait about 30 minutes :)
now set your path to "use" its newly downloaded, loaded with dependencies, versions of mingw and msys, a la build_env.bat contents (in my case):
set PATH=D:\dev\downloads\rubyinstaller\sandbox\mingw\bin;D:\dev\downloads\rubyinstaller\sandbox\msys\bin;D:\dev\downloads\rubyinstaller\sandbox\msys\usr\local\bin;%PATH%
now you can go anywhere and build anything (other versions of ruby, whatever),
example of building ruby trunk:
D:\dev\downloads\ruby_trunk>build_env
D:\dev\downloads\ruby_trunk>sh
Melissa@BLACKY /d/dev/downloads/ruby_trunk
$ autoconf && ./configure && make && make install
much thanks to luis for setting this up, and the mingw/msys team.