What is MSYS?
MSYS is a collection of tools/commands for Windows that you will find standard in Linux. Functions like: rm, file, find, grep, less, make, md5sum and many others.
Download and install
Download MSYS from MinGW's website or download this zipfile (portable).
Extract it and add the bin path to your PATH variable and you are ready to go.
Example path to add to your PATH: